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	3.3861	12.19***
α ARCH Response to squared shocks	0.2975	9.64***
β GARCH Volatility persistence	0.4445	13.67***
γ leverage Additional response to negative shocks	-0.0218	-0.45

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Bati EGE Gayrimenkul Yatirim GJR-GARCH Volatility Analysis

Date Range:

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Volatility Forecast

Parameter Estimates

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