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	0.7949	4.44***
α ARCH Response to squared shocks	0.0235	0.70
β GARCH Volatility persistence	0.0000	0.00

γ₁	-2.3533	-1.67*
γ₂	2.4552	1.16
γ₃	1.0013	0.55
γ₄	-2.2214	-0.96
γ₅	2.1063	1.01
γ₆	-1.4642	-1.26

V-Lab

Universal Music Group N V Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Universal Music Group N V Analyses