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

Spline Coefficients

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Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.2149	18.15***
β GARCH Volatility persistence	0.6792	34.66***
γ leverage Additional response to negative shocks	-0.1713	-12.32***
λ₁ tau intercept Baseline long-term coefficient	7.1656	1.11
λ₂ forecast adj. Forecast performance sensitivity	0.6249	1.19
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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iTraxx/CBOE Europe Main 6-Month Volatility Index (BP Volatility) MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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