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
m window Rolling window length	31
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8093	134.43***
γ leverage Additional response to negative shocks	0.1920	23.30***
λ₁ tau intercept Baseline long-term coefficient	0.0151	3.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0918	4.09***
λ₃ tau persistence Long-term factor persistence	0.9011	38.58***

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FTSE MIB Index MF2-GARCH Volatility Analysis

Date Range:

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