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	1.7781	2.47**
α ARCH Response to squared shocks	0.2521	4.32***
β GARCH Volatility persistence	0.3047	3.53***

γ₁	0.3576	1.88*
γ₂	-0.3039	-1.22
γ₃	-0.1671	-0.97
γ₄	0.1750	1.19
γ₅	-0.0066	-0.04
γ₆	-0.3932	-2.21**
γ₇	0.7196	4.73***
γ₈	-0.5332	-3.39***
γ₉	0.1663	1.20
γ₁₀	-0.0024	-0.03

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Plc Spa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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