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	0.0358	20.61***
α ARCH Response to squared shocks	0.1009	37.33***
β GARCH Volatility persistence	0.8788	288.23***

V-Lab

CAC 40 Index GARCH Volatility Analysis

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