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	0.1610	23.01***
β GARCH Volatility persistence	0.4262	25.71***
γ leverage Additional response to negative shocks	0.2040	17.32***
λ₁ tau intercept Baseline long-term coefficient	0.0256	2.79***
λ₂ forecast adj. Forecast performance sensitivity	0.0892	3.94***
λ₃ tau persistence Long-term factor persistence	0.8843	33.95***

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