CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0281	29.02***
α ARCH Response to squared shocks	0.0795	34.86***
β GARCH Volatility persistence	0.9106	486.18***
γ leverage Additional response to negative shocks	0.5224	22.40***
δ power Transformation power	1.4119	44.85***

V-Lab

OMX Stockholm 30 Index APARCH Volatility Analysis

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