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
m window Rolling window length	36
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8473	248.19***
γ leverage Additional response to negative shocks	0.1792	37.23***
λ₁ tau intercept Baseline long-term coefficient	0.0063	5.53***
λ₂ forecast adj. Forecast performance sensitivity	0.0216	3.27***
λ₃ tau persistence Long-term factor persistence	0.9739	129.25***

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EURO STOXX 50 Price EUR MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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