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	0.9048	3.09***
α ARCH Response to squared shocks	0.1595	13.33***
β GARCH Volatility persistence	0.7950	50.14***
γ leverage Additional response to negative shocks	0.1097	3.09***
δ power Transformation power	2.0156	13.36***

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Havila Kystruten As APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Havila Kystruten As Analyses