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

Spline Coefficients

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0276	32.70***
α ARCH Response to squared shocks	0.0721	21.02***
β GARCH Volatility persistence	0.9199	376.84***
γ leverage Additional response to negative shocks	0.8218	19.18***
δ power Transformation power	1.0857	45.47***

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EURO STOXX 50 Price EUR APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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