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
m window Rolling window length	51
α ARCH Response to squared shocks	0.0552	15.61***
β GARCH Volatility persistence	0.8350	101.54***
γ leverage Additional response to negative shocks	0.0756	9.53***
λ₁ tau intercept Baseline long-term coefficient	0.0129	4.88***
λ₂ forecast adj. Forecast performance sensitivity	0.0110	3.42***
λ₃ tau persistence Long-term factor persistence	0.9870	274.62***

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Leonardo SpA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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