CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4027	7.63***
α ARCH Response to squared shocks	0.0631	7.37***
β GARCH Volatility persistence	0.8928	100.90***
γ leverage Additional response to negative shocks	0.0179	1.72*

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Aselsan Elektronik Sanayi Ve Ticaret AS GJR-GARCH Volatility Analysis

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