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	0.6304	4.25***
α ARCH Response to squared shocks	0.2314	7.38***
β GARCH Volatility persistence	0.6759	17.61***

γ₁	-0.3534	-1.61
γ₂	0.4438	1.26
γ₃	-0.2777	-1.05
γ₄	0.5680	2.75***
γ₅	-0.9157	-4.15***
γ₆	0.9262	4.10***
γ₇	-0.4037	-1.52
γ₈	-0.0160	-0.04
γ₉	-0.0357	-0.07
γ₁₀	0.0778	0.19

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Eagle Football Group Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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