CBOE EFA ETF Volatility Index

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	0.4472	3.58***
α ARCH Response to squared shocks	0.0788	3.91***
β GARCH Volatility persistence	0.8423	22.06***

γ₁	-0.4090	-1.22
γ₂	0.3291	0.69
γ₃	0.4286	1.87*
γ₄	-0.6395	-3.96***
γ₅	0.4883	3.26***
γ₆	-0.3115	-2.58***

V-Lab

Sivers Semiconductors Ab Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sivers Semiconductors Ab Analyses