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
ω const Unconditional variance weight	1.5067	8.26***
α ARCH Response to squared shocks	0.1061	9.07***
β GARCH Volatility persistence	0.8704	74.39***

γ₁	0.0312	6.39***
γ₂	-0.0474	-6.36***
γ₃	0.0217	5.19***

V-Lab

FTSE MIB Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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