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	0.0767	21.31***
α ARCH Response to squared shocks	0.1086	26.13***
β GARCH Volatility persistence	0.8213	168.89***
γ leverage Additional response to negative shocks	0.0825	7.13***

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