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
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8080	131.31***
γ leverage Additional response to negative shocks	0.1926	23.18***
λ₁ tau intercept Baseline long-term coefficient	0.0158	3.70***
λ₂ forecast adj. Forecast performance sensitivity	0.0963	3.94***
λ₃ tau persistence Long-term factor persistence	0.8962	35.18***

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FTSE MIB Index MF2-GARCH Volatility Analysis

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