CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0346	9.14***
α ARCH Response to squared shocks	0.4064	31.46***
β GARCH Volatility persistence	0.6392	16.10***
γ leverage Additional response to negative shocks	0.0705	6.88***

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Casa Emtia Petrol Kimyevi Ve EGARCH Volatility Analysis

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News Impact Curve

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