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	1.1216	6.63***
α ARCH Response to squared shocks	0.1040	4.26***
β GARCH Volatility persistence	0.6907	10.13***

γ₁	-0.3316	-2.19**
γ₂	0.5686	2.20**
γ₃	-0.3061	-1.70*
γ₄	-0.0239	-0.21
γ₅	0.2152	2.29**
γ₆	-0.1538	-1.26
γ₇	0.0347	0.21
γ₈	0.0645	0.43
γ₉	-0.1955	-1.65*
γ₁₀	0.1818	2.34**

V-Lab

Nordic Semiconductor Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nordic Semiconductor Analyses