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	0.0320	31.81***
α ARCH Response to squared shocks	0.0926	31.16***
β GARCH Volatility persistence	0.9039	396.97***
γ leverage Additional response to negative shocks	0.5796	20.78***
δ power Transformation power	1.1464	37.24***

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