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	31
α ARCH Response to squared shocks	0.1152	21.49***
β GARCH Volatility persistence	0.7300	82.33***
γ leverage Additional response to negative shocks	0.1167	14.00***
λ₁ tau intercept Baseline long-term coefficient	0.0119	6.67***
λ₂ forecast adj. Forecast performance sensitivity	0.0298	8.46***
λ₃ tau persistence Long-term factor persistence	0.9649	232.44***

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