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	1.5041	8.25***
α ARCH Response to squared shocks	0.1061	9.06***
β GARCH Volatility persistence	0.8705	74.41***

γ₁	0.0310	6.32***
γ₂	-0.0469	-6.25***
γ₃	0.0212	5.03***

V-Lab

FTSE MIB Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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