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	6.8368	4.74***
α ARCH Response to squared shocks	0.0802	90.76***
β GARCH Volatility persistence	0.9931	709.36***
ν DF Student-t tail thickness	2.9348	72.22***

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Tire Company Debica S A GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tire Company Debica S A Analyses