EURO STOXX 50 Volatility Index

CBOE EFA ETF 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	0.8531	3.89***
α ARCH Response to squared shocks	0.0784	8.17***
β GARCH Volatility persistence	0.8978	67.55***

γ₁	0.1127	0.93
γ₂	-0.3443	-1.93*
γ₃	0.5228	5.02***
γ₄	-0.4781	-4.99***
γ₅	0.2618	1.94*
γ₆	-0.1359	-0.99
γ₇	0.0936	0.85
γ₈	-0.0651	-0.74
γ₉	0.0643	0.90

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Petrolia Se Zero Slope Spline-GARCH Volatility Analysis

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