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	1.3014	21.36***
α ARCH Response to squared shocks	0.2188	17.16***
β GARCH Volatility persistence	0.7957	129.51***
γ leverage Additional response to negative shocks	-0.1564	-9.93***

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iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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