CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.7291	6.95***
α ARCH Response to squared shocks	0.1013	18.02***
β GARCH Volatility persistence	0.9389	104.61***
ν DF Student-t tail thickness	3.4782	10.31***

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Amrest Holdings Se GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amrest Holdings Se Analyses