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	2.1797	3.51***
α ARCH Response to squared shocks	0.0395	8.28***
β GARCH Volatility persistence	0.9762	158.39***
ν DF Student-t tail thickness	3.8931	3.57***

V-Lab

Loreal Sa GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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