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	0.8356	3.69***
α ARCH Response to squared shocks	0.0201	0.64
β GARCH Volatility persistence	0.0000	0.00

γ₁	0.8564	0.23
γ₂	-5.2829	-0.99
γ₃	7.9418	1.65*
γ₄	-6.4951	-0.98
γ₅	8.2395	1.13
γ₆	-10.6899	-1.51
γ₇	9.2130	1.99**
γ₈	-7.3547	-2.57**
γ₉	9.5111	2.49**
γ₁₀	-9.6470	-2.71***

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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