CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8087	129.97***
γ leverage Additional response to negative shocks	0.1920	22.78***
λ₁ tau intercept Baseline long-term coefficient	0.0127	4.42***
λ₂ forecast adj. Forecast performance sensitivity	0.0662	5.16***
λ₃ tau persistence Long-term factor persistence	0.9278	70.42***

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FTSE World Italy Large Cap Index MF2-GARCH Volatility Analysis

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