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
m window Rolling window length	116
α ARCH Response to squared shocks	0.1089	23.54***
β GARCH Volatility persistence	0.7544	71.96***
γ leverage Additional response to negative shocks	0.0713	6.79***
λ₁ tau intercept Baseline long-term coefficient	3.0867	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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