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	1.3226	4.92***
α ARCH Response to squared shocks	0.1678	11.35***
β GARCH Volatility persistence	0.7791	43.26***

γ₁	0.0144	0.46
γ₂	-0.0440	-0.94
γ₃	0.0638	1.94*
γ₄	-0.0771	-2.51**
γ₅	0.1006	3.31***
γ₆	-0.1027	-4.35***
γ₇	0.0619	4.65***

V-Lab

Tivoli A/S Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tivoli A/S Analyses