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	0.8104	3.67***
α ARCH Response to squared shocks	0.0786	8.12***
β GARCH Volatility persistence	0.8969	66.15***

γ₁	0.0949	0.77
γ₂	-0.3219	-1.79*
γ₃	0.5173	4.99***
γ₄	-0.4783	-5.07***
γ₅	0.2657	2.00**
γ₆	-0.1417	-1.04
γ₇	0.0983	0.89
γ₈	-0.0681	-0.79
γ₉	0.0662	0.96

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Petrolia Se Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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