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	1.1117	6.57***
α ARCH Response to squared shocks	0.1044	4.26***
β GARCH Volatility persistence	0.6889	10.08***

γ₁	-0.3370	-2.21**
γ₂	0.5749	2.21**
γ₃	-0.3054	-1.69*
γ₄	-0.0283	-0.25
γ₅	0.2204	2.35**
γ₆	-0.1586	-1.30
γ₇	0.0404	0.25
γ₈	0.0567	0.39
γ₉	-0.1842	-1.58
γ₁₀	0.1710	2.22**

V-Lab

Nordic Semiconductor Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nordic Semiconductor Analyses