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	0.8642	260.15***
γ leverage Additional response to negative shocks	0.1643	43.44***
λ₁ tau intercept Baseline long-term coefficient	0.0082	4.24***
λ₂ forecast adj. Forecast performance sensitivity	0.0308	3.90***
λ₃ tau persistence Long-term factor persistence	0.9638	103.43***

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CAC 40 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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