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	1.1519	25.92***
α ARCH Response to squared shocks	0.2783	21.87***
β GARCH Volatility persistence	0.7005	91.86***
γ leverage Additional response to negative shocks	-0.0711	-4.80***

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Edip Gayrimenkul Yatirim GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Edip Gayrimenkul Yatirim Analyses