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	2.8495	18.16***
α ARCH Response to squared shocks	0.1528	13.40***
β GARCH Volatility persistence	0.4879	24.86***
γ leverage Additional response to negative shocks	0.1226	4.56***

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Plc Spa GJR-GARCH Volatility Analysis

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