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	0.8814	8.02***
α ARCH Response to squared shocks	0.0762	7.75***
β GARCH Volatility persistence	0.8750	47.47***

γ₁	-0.0067	-0.58
γ₂	-0.0193	-1.10
γ₃	0.0649	4.58***
γ₄	-0.0548	-2.97***
γ₅	0.0104	0.45
γ₆	0.0098	0.54

V-Lab

Leonardo SpA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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