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	0.0354	20.48***
α ARCH Response to squared shocks	0.0592	19.58***
β GARCH Volatility persistence	0.8909	309.99***
γ leverage Additional response to negative shocks	0.0600	9.43***

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Luxembourg Stock Exchange LuxX Index GJR-GARCH Volatility Analysis

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