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	1.1446	9.32***
α ARCH Response to squared shocks	0.1001	10.58***
β GARCH Volatility persistence	0.8772	81.15***

V-Lab

CAC 40 Index Zero Slope Spline-GARCH Volatility Analysis

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