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	42.2596	3.49***
α ARCH Response to squared shocks	0.2203	30.89***
β GARCH Volatility persistence	0.9532	70.25***
ν DF Student-t tail thickness	2.7725	33.62***

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Casa Emtia Petrol Kimyevi Ve GAS-GARCH Student T Volatility Analysis

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