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	0.9881	10.09***
α ARCH Response to squared shocks	0.1623	25.35***
β GARCH Volatility persistence	0.9388	156.16***
ν DF Student-t tail thickness	4.8546	9.97***

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