DAX Volatility Index

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	0.0102	5.15***
α ARCH Response to squared shocks	0.1265	22.18***
β GARCH Volatility persistence	0.9783	946.15***
γ leverage Additional response to negative shocks	-0.1024	-33.32***

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EURO STOXX 50 Price EUR EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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