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	71
α ARCH Response to squared shocks	0.0297	13.03***
β GARCH Volatility persistence	0.8566	200.55***
γ leverage Additional response to negative shocks	0.1249	25.08***
λ₁ tau intercept Baseline long-term coefficient	0.0249	4.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0254	5.30***
λ₃ tau persistence Long-term factor persistence	0.9673	155.66***

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Nordea Bank Abp MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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