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
ω const Unconditional variance weight	1.1544	4.88***
α ARCH Response to squared shocks	0.1318	6.86***
β GARCH Volatility persistence	0.7125	15.09***

γ₁	-0.0862	-0.96
γ₂	0.1250	0.98
γ₃	0.0425	0.50
γ₄	-0.2333	-2.66***
γ₅	0.2864	2.69***
γ₆	-0.1994	-1.74*
γ₇	0.0226	0.21
γ₈	0.1532	1.69*
γ₉	-0.2103	-2.64***
γ₁₀	0.1409	2.36**

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Koninklijke Vopak NV Zero Slope Spline-GARCH Volatility Analysis

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