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
ω const Unconditional variance weight	0.8977	5.89***
α ARCH Response to squared shocks	0.1137	9.40***
β GARCH Volatility persistence	0.8296	46.44***

γ₁	-0.1395	-2.18**
γ₂	0.2408	2.50**
γ₃	-0.1317	-2.30**
γ₄	0.0159	0.32
γ₅	0.0825	1.37
γ₆	-0.1879	-2.48**
γ₇	0.1817	3.04***
γ₈	-0.0361	-0.97
γ₉	-0.0675	-1.69*
γ₁₀	0.0595	1.99**

V-Lab

Oslo Stock Exchange All Share Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Oslo Stock Exchange All Share Index Analyses