CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2762	9.61***
α ARCH Response to squared shocks	0.0884	26.75***
β GARCH Volatility persistence	0.8936	286.42***

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Hexagon Composites Asa MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hexagon Composites Asa Analyses