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	1.0654	4.43***
α ARCH Response to squared shocks	0.2127	9.86***
β GARCH Volatility persistence	0.5885	15.97***

γ₁	-0.0724	-1.59
γ₂	0.1472	2.24**
γ₃	-0.1499	-3.67***
γ₄	0.1354	4.03***
γ₅	-0.0959	-3.21***
γ₆	0.0590	1.96**
γ₇	-0.0643	-2.27**
γ₈	0.0864	3.17***
γ₉	-0.0613	-2.87***

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