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	1.4448	5.93***
α ARCH Response to squared shocks	0.1653	4.86***
β GARCH Volatility persistence	0.6773	13.65***

γ₁	-0.0916	-2.00**
γ₂	0.0971	1.43
γ₃	0.0893	1.69*
γ₄	-0.2182	-3.98***
γ₅	0.2062	4.01***
γ₆	-0.1053	-2.12**
γ₇	0.0134	0.28
γ₈	0.0076	0.19
γ₉	0.0144	0.50

V-Lab

Tire Company Debica S A Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Tire Company Debica S A Analyses