CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1794	16.25***
α ARCH Response to squared shocks	0.0493	9.60***
β GARCH Volatility persistence	0.8493	128.73***
γ leverage Additional response to negative shocks	0.0857	7.06***

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Cellnex Telecom SAU GJR-GARCH Volatility Analysis

Date Range:

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