CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0212	7.52***
α ARCH Response to squared shocks	0.0068	1.99**
β GARCH Volatility persistence	0.9654	268.53***
γ leverage Additional response to negative shocks	0.0397	5.82***

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Sofina SA GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sofina SA Analyses