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	2.8725	16.96***
α ARCH Response to squared shocks	0.1670	16.66***
β GARCH Volatility persistence	0.8319	111.51***
γ leverage Additional response to negative shocks	-0.1365	-11.05***

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iTraxx/CBOE Europe Crossover 1-Month Volatility Index (BP Volatility) GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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