CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	106
α ARCH Response to squared shocks	0.0271	10.39***
β GARCH Volatility persistence	0.8317	64.06***
γ leverage Additional response to negative shocks	0.0749	10.92***
λ₁ tau intercept Baseline long-term coefficient	0.0912	0.96
λ₂ forecast adj. Forecast performance sensitivity	0.0192	1.56
λ₃ tau persistence Long-term factor persistence	0.9718	46.38***

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Nordic Semiconductor MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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