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	1.0601	2.21**
α ARCH Response to squared shocks	0.3063	5.28***
β GARCH Volatility persistence	0.4682	5.90***

γ₁	0.7897	0.27
γ₂	1.7288	0.40
γ₃	-7.7834	-2.51**
γ₄	9.9785	3.77***
γ₅	-7.7294	-4.26***
γ₆	4.4266	3.24***
γ₇	-1.5882	-1.51

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Havila Kystruten As Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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