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	4.3811	14.10***
α ARCH Response to squared shocks	0.3211	17.45***
β GARCH Volatility persistence	0.4827	28.80***
γ leverage Additional response to negative shocks	-0.1028	-3.92***

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Casa Emtia Petrol Kimyevi Ve GJR-GARCH Volatility Analysis

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