DAX Volatility Index

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
ω const Unconditional variance weight	41.5928	13.75***
α ARCH Response to squared shocks	0.1082	17.13***
β GARCH Volatility persistence	0.9077	111.12***
ν DF Student-t tail thickness	5.3538	4.82***

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iTraxx/CBOE Europe Main 1-Month Volatility Index (BP Volatility) GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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