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	1.0000	4.77***
α ARCH Response to squared shocks	0.2687	16.10***
β GARCH Volatility persistence	0.5604	17.47***
γ leverage Additional response to negative shocks	0.0913	3.72***
δ power Transformation power	1.3874	7.34***

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Inmocemento S A Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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