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	0.8831	8.11***
α ARCH Response to squared shocks	0.0761	7.61***
β GARCH Volatility persistence	0.8735	46.51***

γ₁	-0.0056	-0.49
γ₂	-0.0210	-1.20
γ₃	0.0651	4.56***
γ₄	-0.0523	-2.72***
γ₅	0.0016	0.06
γ₆	0.0401	1.34

V-Lab

Leonardo SpA Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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