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
ω const Unconditional variance weight	0.0072	3.70***
α ARCH Response to squared shocks	0.0850	44.52***
β GARCH Volatility persistence	0.8918	438.87***
γ leverage Additional response to negative shocks	0.6492	30.43***

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OMX Stockholm 30 Index AGARCH Volatility Analysis

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