CBOE Emerging Market Markets 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	91
α ARCH Response to squared shocks	0.0918	11.75***
β GARCH Volatility persistence	0.6996	17.13***
γ leverage Additional response to negative shocks	0.0558	2.98***
λ₁ tau intercept Baseline long-term coefficient	4.6430	0.72
λ₂ forecast adj. Forecast performance sensitivity	0.5459	0.36
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Aselsan Elektronik Sanayi Ve Ticaret AS MF2-GARCH Volatility Analysis

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