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	0.8088	5.55***
α ARCH Response to squared shocks	0.1498	10.20***
β GARCH Volatility persistence	0.8029	49.60***

γ₁	0.0921	3.60***
γ₂	-0.1929	-5.38***
γ₃	0.1856	8.04***
γ₄	-0.1202	-5.26***
γ₅	0.0178	0.73
γ₆	0.0422	1.80*
γ₇	-0.0318	-1.91*

V-Lab

PSI 20 Portuguese Stock Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PSI 20 Portuguese Stock Index Analyses