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	0.6006	3.99***
α ARCH Response to squared shocks	0.0796	3.26***
β GARCH Volatility persistence	0.7680	13.64***

γ₁	-0.9004	-0.82
γ₂	0.8027	0.50
γ₃	0.8122	0.79
γ₄	-2.1874	-2.83***
γ₅	3.0873	3.68***
γ₆	-3.6131	-3.23***
γ₇	4.5820	2.86***
γ₈	-4.7078	-1.98**
γ₉	3.2676	1.28
γ₁₀	-1.4920	-1.02

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Unipol Assicurazioni SpA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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