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	1.1058	4.54***
α ARCH Response to squared shocks	0.2152	9.92***
β GARCH Volatility persistence	0.5838	15.81***

γ₁	-0.0668	-1.49
γ₂	0.1405	2.17**
γ₃	-0.1485	-3.67***
γ₄	0.1353	4.06***
γ₅	-0.0966	-3.26***
γ₆	0.0603	2.02**
γ₇	-0.0660	-2.34**
γ₈	0.0884	3.25***
γ₉	-0.0629	-2.94***

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