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
m window Rolling window length	51
α ARCH Response to squared shocks	0.0247	3.27***
β GARCH Volatility persistence	0.6264	7.51***
γ leverage Additional response to negative shocks	0.0876	4.41***
λ₁ tau intercept Baseline long-term coefficient	0.4114	0.13
λ₂ forecast adj. Forecast performance sensitivity	0.5560	0.13
λ₃ tau persistence Long-term factor persistence	0.3105	0.06

V-Lab

Sofina SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sofina SA Analyses