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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5691	6.82***
α ARCH Response to squared shocks	0.1170	5.42***
β GARCH Volatility persistence	0.7659	15.94***

γ₁	-0.1925	-4.93***
γ₂	0.2435	4.23***
γ₃	-0.0554	-1.38
γ₄	0.0402	1.05
γ₅	-0.0970	-2.88***
γ₆	0.0895	3.90***

V-Lab

Amrest Holdings Se Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Amrest Holdings Se Analyses