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	0.7921	8.91***
α ARCH Response to squared shocks	0.0306	2.46**
β GARCH Volatility persistence	0.9393	40.51***

V-Lab

Loreal Sa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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