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	1.5207	7.19***
α ARCH Response to squared shocks	0.2982	6.97***
β GARCH Volatility persistence	0.4311	8.35***

γ₁	0.0520	1.38
γ₂	-0.1361	-2.45**
γ₃	0.1780	4.74***
γ₄	-0.1460	-3.66***
γ₅	0.0639	1.63
γ₆	0.0341	0.96
γ₇	-0.0969	-3.01***
γ₈	0.0638	3.09***

V-Lab

Edip Gayrimenkul Yatirim Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Edip Gayrimenkul Yatirim Analyses