CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6789	6.63***
α ARCH Response to squared shocks	0.0643	34.07***
β GARCH Volatility persistence	0.9888	546.61***
ν DF Student-t tail thickness	6.6649	6.11***

V-Lab

Luxembourg Stock Exchange LuxX Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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