CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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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	5.7426	6.88***
α ARCH Response to squared shocks	0.1014	18.06***
β GARCH Volatility persistence	0.9394	104.26***
ν DF Student-t tail thickness	3.4703	10.36***

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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