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	6.3758	4.51***
α ARCH Response to squared shocks	0.0932	10.49***
β GARCH Volatility persistence	0.9482	80.85***
ν DF Student-t tail thickness	4.2350	4.14***

V-Lab

Sats As GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sats As Analyses