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	0.0401	6.69***
α ARCH Response to squared shocks	0.0764	16.84***
β GARCH Volatility persistence	0.9866	683.70***
γ leverage Additional response to negative shocks	-0.0515	-11.67***

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Nordic Semiconductor EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nordic Semiconductor Analyses