CBOE EFA ETF Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.3611	10.26***
α ARCH Response to squared shocks	0.1569	27.65***
β GARCH Volatility persistence	0.9049	100.30***
ν DF Student-t tail thickness	3.1155	21.68***

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VIEL & Cie SA GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other VIEL & Cie SA Analyses