CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7697	12.82***
α ARCH Response to squared shocks	0.1489	33.64***
β GARCH Volatility persistence	0.7842	161.40***
γ leverage Additional response to negative shocks	0.0546	6.28***
δ power Transformation power	2.5351	34.37***

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Plc Spa Asy. Power MEM Volatility Analysis

Date Range:

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