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	0.5449	15.49***
α ARCH Response to squared shocks	0.0672	20.65***
β GARCH Volatility persistence	0.8861	175.11***

V-Lab

Nordic Semiconductor GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nordic Semiconductor Analyses