CBOE EFA ETF Volatility Index

EURO STOXX 50 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	0.0210	20.89***
α ARCH Response to squared shocks	0.1295	50.71***
β GARCH Volatility persistence	0.8559	351.94***
γ leverage Additional response to negative shocks	0.1974	16.49***

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PSI 20 Portuguese Stock Index AGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PSI 20 Portuguese Stock Index Analyses