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	0.0000	0.00
β GARCH Volatility persistence	0.9874	346.32***
γ leverage Additional response to negative shocks	0.0194	8.05***
λ₁ tau intercept Baseline long-term coefficient	5.3078	0.03
λ₂ forecast adj. Forecast performance sensitivity	0.1496	0.04
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Sats As MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sats As Analyses