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
m window Rolling window length	21
α ARCH Response to squared shocks	0.1541	21.39***
β GARCH Volatility persistence	0.4984	26.32***
γ leverage Additional response to negative shocks	-0.0414	-4.11***
λ₁ tau intercept Baseline long-term coefficient	0.0218	0.75
λ₂ forecast adj. Forecast performance sensitivity	0.0110	1.49
λ₃ tau persistence Long-term factor persistence	0.9873	107.76***

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Hexagon Composites Asa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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