CBOE EFA ETF Volatility Index

EURO STOXX 50 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	13.5742	3.41***
α ARCH Response to squared shocks	0.1703	90.23***
β GARCH Volatility persistence	0.9875	277.94***
ν DF Student-t tail thickness	2.7112	85.57***

V-Lab

Eagle Football Group GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Eagle Football Group Analyses