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	0.6584	3.44***
α ARCH Response to squared shocks	0.2418	7.23***
β GARCH Volatility persistence	0.6027	14.77***

γ₁	-0.3782	-2.86***
γ₂	0.6000	3.33***
γ₃	-0.4081	-2.67***
γ₄	0.2505	1.44
γ₅	-0.0440	-0.31
γ₆	-0.0059	-0.05
γ₇	-0.0470	-0.39
γ₈	0.0493	0.61

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Ljubljana Stock Exchange Slovenian Blue-Chip SBITOP Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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