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	61
α ARCH Response to squared shocks	0.1692	19.82***
β GARCH Volatility persistence	0.8087	71.80***
γ leverage Additional response to negative shocks	-0.1414	-15.84***
λ₁ tau intercept Baseline long-term coefficient	0.0098	0.54
λ₂ forecast adj. Forecast performance sensitivity	0.0028	2.99***
λ₃ tau persistence Long-term factor persistence	0.9972	858.17***

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iTraxx/CBOE Europe Crossover 1-Month Volatility Index (BP Volatility) MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iTraxx/CBOE Europe Crossover 1-Month Volatility Index (BP Volatility) Analyses