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	2.0082	5.46***
α ARCH Response to squared shocks	0.0961	59.53***
β GARCH Volatility persistence	0.9944	985.54***
ν DF Student-t tail thickness	6.6887	12.69***

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PSI 20 Portuguese Stock Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PSI 20 Portuguese Stock Index Analyses