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	18.8972	5.27***
α ARCH Response to squared shocks	0.2078	10.30***
β GARCH Volatility persistence	0.8446	30.23***
ν DF Student-t tail thickness	3.1630	8.77***

V-Lab

Havila Kystruten As GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Havila Kystruten As Analyses