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	1.5135	7.12***
α ARCH Response to squared shocks	0.0728	31.83***
β GARCH Volatility persistence	0.9874	542.84***
ν DF Student-t tail thickness	6.1063	8.46***

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OMX Copenhagen 20 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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