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
m window Rolling window length	51
α ARCH Response to squared shocks	0.0641	15.89***
β GARCH Volatility persistence	0.8204	67.09***
γ leverage Additional response to negative shocks	0.0543	7.98***
λ₁ tau intercept Baseline long-term coefficient	0.0258	2.96***
λ₂ forecast adj. Forecast performance sensitivity	0.0157	3.55***
λ₃ tau persistence Long-term factor persistence	0.9791	172.10***

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Amrest Holdings Se MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amrest Holdings Se Analyses