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
m window Rolling window length	36
α ARCH Response to squared shocks	0.1932	16.97***
β GARCH Volatility persistence	0.6114	12.80***
γ leverage Additional response to negative shocks	0.0133	0.87
λ₁ tau intercept Baseline long-term coefficient	2.1253	1.06
λ₂ forecast adj. Forecast performance sensitivity	0.4786	0.56
λ₃ tau persistence Long-term factor persistence	0.0001	0.00

V-Lab

Eagle Football Group MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Eagle Football Group Analyses