CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1237	6.62***
α ARCH Response to squared shocks	0.1048	4.29***
β GARCH Volatility persistence	0.6906	10.19***

γ₁	-0.3297	-2.18**
γ₂	0.5666	2.19**
γ₃	-0.3077	-1.71*
γ₄	-0.0192	-0.17
γ₅	0.2099	2.23**
γ₆	-0.1491	-1.22
γ₇	0.0293	0.18
γ₈	0.0725	0.48
γ₉	-0.2085	-1.73*
γ₁₀	0.1952	2.48**

V-Lab

Nordic Semiconductor Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nordic Semiconductor Analyses