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	0.2698	6.05***
α ARCH Response to squared shocks	0.1413	4.91***
β GARCH Volatility persistence	0.8246	25.11***
γ leverage Additional response to negative shocks	0.0785	3.60***

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Universal Music Group N V EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Universal Music Group N V Analyses