EURO STOXX 50 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2277	18.57***
α ARCH Response to squared shocks	0.0644	18.51***
β GARCH Volatility persistence	0.9271	461.04***
γ leverage Additional response to negative shocks	0.0110	1.66*

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Petrolia Se GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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