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	0.8788	5.84***
α ARCH Response to squared shocks	0.1257	6.54***
β GARCH Volatility persistence	0.7966	60.51***
γ leverage Additional response to negative shocks	0.0691	1.66*

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Havila Kystruten As GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Havila Kystruten As Analyses