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	0.2381	10.20***
α ARCH Response to squared shocks	0.0437	7.82***
β GARCH Volatility persistence	0.8915	128.11***
γ leverage Additional response to negative shocks	0.0499	4.22***

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Prosus Nv GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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