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	1.3686	2.43**
α ARCH Response to squared shocks	0.3178	4.40***
β GARCH Volatility persistence	0.4401	5.53***

γ₁	6.2372	1.60
γ₂	-7.9636	-1.38
γ₃	5.2999	0.92
γ₄	-12.1519	-1.78*
γ₅	16.2429	2.64***
γ₆	-10.0459	-2.33**
γ₇	0.4789	0.15
γ₈	4.5883	1.55
γ₉	-3.5149	-1.74*

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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