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	0.0135	8.39***
α ARCH Response to squared shocks	0.1540	44.50***
β GARCH Volatility persistence	0.9794	1,023.37***
γ leverage Additional response to negative shocks	-0.0848	-25.66***

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OMX Stockholm 30 Index EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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