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	0.3130	4.77***
α ARCH Response to squared shocks	0.2581	8.80***
β GARCH Volatility persistence	0.9081	61.01***
γ leverage Additional response to negative shocks	0.1060	3.11***

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Empa Elektronik Sanayi VE Ticaret AS EGARCH Volatility Analysis

Date Range:

News Impact Curve

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