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	1.0377	7.82***
α ARCH Response to squared shocks	0.1121	4.93***
β GARCH Volatility persistence	0.7594	16.69***

γ₁	0.0803	2.76***
γ₂	-0.1307	-3.11***
γ₃	0.0668	3.06***

V-Lab

Cellnex Telecom SAU Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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