CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4119	11.82***
α ARCH Response to squared shocks	0.2154	13.44***
β GARCH Volatility persistence	0.6984	68.19***
γ leverage Additional response to negative shocks	0.0057	0.20

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Eagle Football Group GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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