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	2.6438	5.69***
α ARCH Response to squared shocks	0.0849	39.47***
β GARCH Volatility persistence	0.9916	647.23***
ν DF Student-t tail thickness	7.2374	7.66***

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