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
ω const Unconditional variance weight	1.6805	4.98***
α ARCH Response to squared shocks	0.2822	7.76***
β GARCH Volatility persistence	0.4833	8.79***

γ₁	0.4389	3.43***
γ₂	-0.5706	-2.81***
γ₃	0.1923	0.99
γ₄	-0.1786	-0.68
γ₅	0.1884	0.74
γ₆	-0.0670	-0.49

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Casa Emtia Petrol Kimyevi Ve Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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