CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0438	22.80***
α ARCH Response to squared shocks	0.0317	10.99***
β GARCH Volatility persistence	0.8808	420.82***
γ leverage Additional response to negative shocks	0.1261	20.88***

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IBEX 35 Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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