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	0.7540	3.73***
α ARCH Response to squared shocks	0.0781	2.17**
β GARCH Volatility persistence	0.7628	9.78***

γ₁	-1.5862	-2.61***
γ₂	2.7436	3.18***
γ₃	-2.0628	-4.00***
γ₄	1.1493	2.46**
γ₅	-0.1225	-0.23
γ₆	-0.1359	-0.30

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Sats As Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sats As Analyses