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	2.6262	5.96***
α ARCH Response to squared shocks	0.0829	42.70***
β GARCH Volatility persistence	0.9926	765.87***
ν DF Student-t tail thickness	8.1441	6.60***

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FTSE MIB Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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