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	0.5677	6.83***
α ARCH Response to squared shocks	0.1191	5.46***
β GARCH Volatility persistence	0.7617	15.76***

γ₁	-0.1944	-4.96***
γ₂	0.2459	4.25***
γ₃	-0.0567	-1.41
γ₄	0.0431	1.11
γ₅	-0.1008	-2.96***
γ₆	0.0920	3.95***

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