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	21
α ARCH Response to squared shocks	0.1303	19.32***
β GARCH Volatility persistence	0.6650	33.25***
γ leverage Additional response to negative shocks	0.0511	4.12***
λ₁ tau intercept Baseline long-term coefficient	0.0058	2.49**
λ₂ forecast adj. Forecast performance sensitivity	0.0533	3.65***
λ₃ tau persistence Long-term factor persistence	0.9432	64.05***

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