CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7702	8.74***
α ARCH Response to squared shocks	0.0869	34.91***
β GARCH Volatility persistence	0.9852	532.82***
ν DF Student-t tail thickness	8.0803	5.86***

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IBEX 35 Index GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other IBEX 35 Index Analyses