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	0.1154	11.57***
α ARCH Response to squared shocks	0.1313	7.13***
β GARCH Volatility persistence	0.8383	129.39***
γ leverage Additional response to negative shocks	0.0152	0.52

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Conpet SA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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