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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0570	17.26***
β GARCH Volatility persistence	0.6860	78.92***
γ leverage Additional response to negative shocks	0.1954	28.93***
λ₁ tau intercept Baseline long-term coefficient	0.0071	3.52***
λ₂ forecast adj. Forecast performance sensitivity	0.0525	7.77***
λ₃ tau persistence Long-term factor persistence	0.9423	131.23***

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PSI 20 Portuguese Stock Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PSI 20 Portuguese Stock Index Analyses