CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0258	22.21***
α ARCH Response to squared shocks	0.1030	38.40***
β GARCH Volatility persistence	0.8880	369.55***

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FTSE MIB Index GARCH Volatility Analysis

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