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	1.4476	23.72***
α ARCH Response to squared shocks	0.1489	30.04***
β GARCH Volatility persistence	0.7233	171.92***
γ leverage Additional response to negative shocks	1.0054	9.59***

V-Lab

Nordic Semiconductor AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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