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	18.3685	3.71***
α ARCH Response to squared shocks	0.0461	50.93***
β GARCH Volatility persistence	0.9929	523.95***
ν DF Student-t tail thickness	3.4650	20.09***

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Hexagon Composites Asa GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hexagon Composites Asa Analyses