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
m window Rolling window length	66
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8643	261.60***
γ leverage Additional response to negative shocks	0.1645	43.53***
λ₁ tau intercept Baseline long-term coefficient	0.0080	4.30***
λ₂ forecast adj. Forecast performance sensitivity	0.0306	3.95***
λ₃ tau persistence Long-term factor persistence	0.9642	105.87***

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CAC 40 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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