CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0317	31.97***
α ARCH Response to squared shocks	0.0733	33.06***
β GARCH Volatility persistence	0.9168	468.97***
γ leverage Additional response to negative shocks	0.8175	27.82***
δ power Transformation power	1.0430	42.68***

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