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How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1677	8.16***
α ARCH Response to squared shocks	0.0997	14.53***
β GARCH Volatility persistence	0.9547	224.38***
γ leverage Additional response to negative shocks	0.1222	21.46***

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iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) EGARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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