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	1.9909	15.84***
α ARCH Response to squared shocks	0.3095	17.41***
β GARCH Volatility persistence	0.5746	43.32***
γ leverage Additional response to negative shocks	-0.0012	-0.04

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Havila Kystruten As Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Havila Kystruten As Analyses