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	71
α ARCH Response to squared shocks	0.7598
β GARCH Volatility persistence	0.0000
γ leverage Additional response to negative shocks	0.4803
λ₁ tau intercept Baseline long-term coefficient	2.1747
λ₂ forecast adj. Forecast performance sensitivity	0.0000
λ₃ tau persistence Long-term factor persistence	0.0000

V-Lab

Conpet SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Conpet SA Analyses