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	0.0438	22.81***
α ARCH Response to squared shocks	0.0315	10.94***
β GARCH Volatility persistence	0.8812	421.61***
γ leverage Additional response to negative shocks	0.1258	20.86***

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IBEX 35 Index GJR-GARCH Volatility Analysis

Date Range:

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