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	0.5497	6.22***
α ARCH Response to squared shocks	0.1582	2.73***
β GARCH Volatility persistence	0.2992	1.42

γ₁	-0.2275	-3.72***
γ₂	0.2823	3.68***

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Gvs S P A Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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