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	1.3607	2.44**
α ARCH Response to squared shocks	0.3166	4.35***
β GARCH Volatility persistence	0.4348	5.33***

γ₁	6.2658	1.61
γ₂	-8.0291	-1.39
γ₃	5.3848	0.93
γ₄	-12.2507	-1.81*
γ₅	16.3094	2.68***
γ₆	-9.9800	-2.33**
γ₇	0.0957	0.03
γ₈	5.7337	1.72*
γ₉	-6.6932	-1.50

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Havila Kystruten As Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Havila Kystruten As Analyses