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	1.7564	1.63
α ARCH Response to squared shocks	0.1886	3.91***
β GARCH Volatility persistence	0.8538	40.60***
γ leverage Additional response to negative shocks	-0.1886	-3.99***

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Empa Elektronik Sanayi VE Ticaret AS Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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