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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0332	0.03
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	-0.0136	-0.04
λ₁ tau intercept Baseline long-term coefficient	2.4845	0.01
λ₂ forecast adj. Forecast performance sensitivity	0.2016	0.01
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Universal Music Group N V MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Universal Music Group N V Analyses