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	0.1802	12.65***
α ARCH Response to squared shocks	0.1044	33.73***
β GARCH Volatility persistence	0.8788	258.33***
γ leverage Additional response to negative shocks	0.1457	15.33***
δ power Transformation power	1.7859	31.84***

V-Lab

Nordic Semiconductor Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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