CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4296	4.94***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.4973	0.40

γ₁	2.4414	3.69***
γ₂	-4.1948	-4.03***
γ₃	2.9851	2.75***
γ₄	-1.5194	-1.17
γ₅	0.1563	0.14
γ₆	0.1619	0.28

V-Lab

Christian Dior SE Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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