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	0.1125	9.13***
β GARCH Volatility persistence	0.2666	6.14***
γ leverage Additional response to negative shocks	0.0786	5.41***
λ₁ tau intercept Baseline long-term coefficient	3.4839	0.61
λ₂ forecast adj. Forecast performance sensitivity	0.6973	0.80
λ₃ tau persistence Long-term factor persistence	0.2411	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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