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	0.8954	6.32***
α ARCH Response to squared shocks	0.1807	15.58***
β GARCH Volatility persistence	0.7640	77.16***
γ leverage Additional response to negative shocks	1.0417	6.59***

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Havila Kystruten As AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Havila Kystruten As Analyses