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	2.4181	9.75***
α ARCH Response to squared shocks	0.1063	47.86***
β GARCH Volatility persistence	0.9820	504.35***
ν DF Student-t tail thickness	5.7067	14.13***

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Budapest Stock Exchange Budapest Stock Index GAS-GARCH Student T Volatility Analysis

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