CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

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How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.2614	10.96***
β GARCH Volatility persistence	0.4242	8.79***
γ leverage Additional response to negative shocks	-0.1046	-3.66***
λ₁ tau intercept Baseline long-term coefficient	1.5098	0.23
λ₂ forecast adj. Forecast performance sensitivity	0.3723	0.21
λ₃ tau persistence Long-term factor persistence	0.2614	0.08

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Stroeer Se & Co Kgaa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Stroeer Se & Co Kgaa Analyses