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	0.0212	7.52***
α ARCH Response to squared shocks	0.0069	2.01**
β GARCH Volatility persistence	0.9653	269.05***
γ leverage Additional response to negative shocks	0.0396	5.79***

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Sofina SA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sofina SA Analyses