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	0.0276	10.48***
β GARCH Volatility persistence	0.8308	63.80***
γ leverage Additional response to negative shocks	0.0748	10.88***
λ₁ tau intercept Baseline long-term coefficient	0.0907	0.96
λ₂ forecast adj. Forecast performance sensitivity	0.0193	1.57
λ₃ tau persistence Long-term factor persistence	0.9717	46.56***

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Nordic Semiconductor MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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