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	0.0453	3.76***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.5000	8.74***
λ₁ tau intercept Baseline long-term coefficient	2.4327	0.18
λ₂ forecast adj. Forecast performance sensitivity	0.0823	0.29
λ₃ tau persistence Long-term factor persistence	0.3714	0.12

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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