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	19.6230	7.68***
α ARCH Response to squared shocks	0.0936	21.85***
β GARCH Volatility persistence	0.9568	173.84***
ν DF Student-t tail thickness	4.4728	7.39***

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iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) Analyses