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	1.3557	7.56***
α ARCH Response to squared shocks	0.1040	4.80***
β GARCH Volatility persistence	0.7233	11.70***

γ₁	-0.1047	-1.89*
γ₂	0.2571	2.63***
γ₃	-0.3015	-3.65***
γ₄	0.2434	3.98***
γ₅	-0.1030	-1.66*
γ₆	0.0134	0.15
γ₇	0.0259	0.24
γ₈	-0.2508	-1.46

V-Lab

Nordic Semiconductor Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Nordic Semiconductor Analyses