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
ω const Unconditional variance weight	3.8304	25.48***
α ARCH Response to squared shocks	0.0102	0.90
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.0856	1.40

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Universal Music Group N V GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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