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
m window Rolling window length	31
α ARCH Response to squared shocks	0.0426	6.61***
β GARCH Volatility persistence	0.7432	44.18***
γ leverage Additional response to negative shocks	0.1071	12.99***
λ₁ tau intercept Baseline long-term coefficient	1.2957	0.26
λ₂ forecast adj. Forecast performance sensitivity	0.5646	0.26
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Cellnex Telecom SAU MF2-GARCH Volatility Analysis

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