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	0.3874	5.12***
α ARCH Response to squared shocks	0.0956	2.71***
β GARCH Volatility persistence	0.5946	4.14***

γ₁	-2.1705	-2.92***
γ₂	4.0383	3.55***
γ₃	-4.0611	-4.31***
γ₄	4.2828	4.60***
γ₅	-3.4269	-3.80***
γ₆	1.0279	0.99
γ₇	1.1293	1.07
γ₈	-1.0971	-1.30
γ₉	0.2992	0.56

V-Lab

Sofina SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sofina SA Analyses