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

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Parameter	Value	t-statistic
m window Rolling window length	61
α ARCH Response to squared shocks	0.3485	33.16***
β GARCH Volatility persistence	0.4430	32.61***
γ leverage Additional response to negative shocks	-0.1628	-7.74***
λ₁ tau intercept Baseline long-term coefficient	0.3155	0.97
λ₂ forecast adj. Forecast performance sensitivity	0.0159	0.73
λ₃ tau persistence Long-term factor persistence	0.9656	22.68***

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Casa Emtia Petrol Kimyevi Ve MF2-GARCH Volatility Analysis

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