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	2,039.3620	7.52***
α ARCH Response to squared shocks	0.1385	97.08***
β GARCH Volatility persistence	0.9990	7,345.59***
ν DF Student-t tail thickness	2.0006

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Universal Music Group N V GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Universal Music Group N V Analyses