DAX Volatility Index

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	0.0396	26.36***
α ARCH Response to squared shocks	0.0861	21.26***
β GARCH Volatility persistence	0.7903	283.78***
γ leverage Additional response to negative shocks	0.1936	27.14***

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EURO STOXX 50 Price EUR Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other EURO STOXX 50 Price EUR Analyses