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	1.0391	4.36***
α ARCH Response to squared shocks	0.2128	9.80***
β GARCH Volatility persistence	0.5843	15.60***

γ₁	-0.0766	-1.68*
γ₂	0.1532	2.34**
γ₃	-0.1532	-3.79***
γ₄	0.1382	4.15***
γ₅	-0.0977	-3.30***
γ₆	0.0600	2.01**
γ₇	-0.0655	-2.32**
γ₈	0.0884	3.23***
γ₉	-0.0632	-2.92***

V-Lab

VIEL & Cie SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other VIEL & Cie SA Analyses