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	2.5279	3.26***
α ARCH Response to squared shocks	0.1882	9.26***
β GARCH Volatility persistence	0.7536	25.06***

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Empa Elektronik Sanayi VE Ticaret AS GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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