CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	21.3408	3.92***
α ARCH Response to squared shocks	0.1052	23.69***
β GARCH Volatility persistence	0.9690	119.00***
ν DF Student-t tail thickness	3.3632	13.32***

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Sivers Semiconductors Ab GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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