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	1.0000	4.93***
α ARCH Response to squared shocks	0.2722	28.74***
β GARCH Volatility persistence	0.6423	45.02***
γ leverage Additional response to negative shocks	-0.0157	-1.09
δ power Transformation power	1.6081	13.08***

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Havila Kystruten As Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Havila Kystruten As Analyses