EURO STOXX 50 Volatility Index

CBOE EFA ETF Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1129	9.17***
β GARCH Volatility persistence	0.2668	6.19***
γ leverage Additional response to negative shocks	0.0781	5.38***
λ₁ tau intercept Baseline long-term coefficient	3.4606	0.62
λ₂ forecast adj. Forecast performance sensitivity	0.6999	0.81
λ₃ tau persistence Long-term factor persistence	0.2398	0.24

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Petrolia Se MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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