DAX Volatility Index

CBOE EFA ETF Volatility Index

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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	40.7089	10.08***
α ARCH Response to squared shocks	0.0925	16.82***
β GARCH Volatility persistence	0.9354	144.19***
ν DF Student-t tail thickness	5.0373	4.80***

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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