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	0.0300	21.87***
α ARCH Response to squared shocks	0.0233	9.89***
β GARCH Volatility persistence	0.9008	485.09***
γ leverage Additional response to negative shocks	0.1222	23.52***

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OMX Stockholm 30 Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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