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	0.1044	9.48***
α ARCH Response to squared shocks	0.1664	13.48***
β GARCH Volatility persistence	0.9479	191.22***
γ leverage Additional response to negative shocks	-0.0613	-4.77***

V-Lab

Sats As EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sats As Analyses