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	21.4437	4.84***
α ARCH Response to squared shocks	0.1519	38.24***
β GARCH Volatility persistence	0.9718	166.21***
ν DF Student-t tail thickness	3.6431	20.88***

V-Lab

Edip Gayrimenkul Yatirim GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Edip Gayrimenkul Yatirim Analyses