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	3.8063	4.15***
α ARCH Response to squared shocks	0.0680	28.13***
β GARCH Volatility persistence	0.9890	355.39***
ν DF Student-t tail thickness	5.7293	6.25***

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Nordea Bank Abp GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nordea Bank Abp Analyses