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
m window Rolling window length	66
α ARCH Response to squared shocks	0.0075	2.85***
β GARCH Volatility persistence	0.8653	311.80***
γ leverage Additional response to negative shocks	0.1510	33.60***
λ₁ tau intercept Baseline long-term coefficient	0.0233	4.09***
λ₂ forecast adj. Forecast performance sensitivity	0.1075	3.80***
λ₃ tau persistence Long-term factor persistence	0.8789	27.77***

V-Lab

OMX Stockholm 30 Index MF2-GARCH Volatility Analysis

Date Range:

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