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	0.0353	16.10***
α ARCH Response to squared shocks	0.0114	5.20***
β GARCH Volatility persistence	0.8996	441.64***
γ leverage Additional response to negative shocks	0.1337	28.19***

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