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
m window Rolling window length	26
α ARCH Response to squared shocks	0.1905	27.95***
β GARCH Volatility persistence	0.5322	43.91***
γ leverage Additional response to negative shocks	0.0307	2.87***
λ₁ tau intercept Baseline long-term coefficient	0.0463	2.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0207	4.45***
λ₃ tau persistence Long-term factor persistence	0.9677	124.48***

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VIEL & Cie SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VIEL & Cie SA Analyses