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
ω const Unconditional variance weight	0.2593	1.64
α ARCH Response to squared shocks	0.1528	8.95***
β GARCH Volatility persistence	0.7135	22.44***

γ₁	-0.2559	-4.20***
γ₂	0.2857	3.86***
γ₃	-0.0237	-0.75
γ₄	-0.0028	-0.12
γ₅	0.0149	0.65
γ₆	-0.0228	-1.12
γ₇	-0.0015	-0.11

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Aselsan Elektronik Sanayi Ve Ticaret AS Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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