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	15.0000	13.23***
α ARCH Response to squared shocks	0.3774	17.89***
β GARCH Volatility persistence	0.2940	19.71***
γ leverage Additional response to negative shocks	-1.0014	-4.62***

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Empa Elektronik Sanayi VE Ticaret AS AGARCH Volatility Analysis

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