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	1.3801	2.44**
α ARCH Response to squared shocks	0.3213	4.40***
β GARCH Volatility persistence	0.4371	5.46***

γ₁	6.4640	1.64
γ₂	-8.3500	-1.41
γ₃	5.6946	0.95
γ₄	-12.5656	-1.79*
γ₅	16.2806	2.62***
γ₆	-9.4911	-2.20**
γ₇	-0.2956	-0.09
γ₈	4.9926	1.64
γ₉	-3.4843	-1.64

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Havila Kystruten As Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Havila Kystruten As Analyses