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
m window Rolling window length	26
α ARCH Response to squared shocks	0.1440	12.32***
β GARCH Volatility persistence	0.5145	27.30***
γ leverage Additional response to negative shocks	0.1833	8.00***
λ₁ tau intercept Baseline long-term coefficient	0.0011	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.0027	2.70***
λ₃ tau persistence Long-term factor persistence	0.9961	501.83***

V-Lab

Conpet SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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