DAX Volatility Index

CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1907	39.66***
β GARCH Volatility persistence	0.7187	67.24***
γ leverage Additional response to negative shocks	-0.1907	-22.50***
λ₁ tau intercept Baseline long-term coefficient	0.3844	1.47
λ₂ forecast adj. Forecast performance sensitivity	0.0208	2.09**
λ₃ tau persistence Long-term factor persistence	0.9691	60.17***

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EURO STOXX 50 Volatility Index MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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