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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	65.7454	3.45***
α ARCH Response to squared shocks	0.2126	6.12***
β GARCH Volatility persistence	0.9643	53.49***
ν DF Student-t tail thickness	200.0000	0.08

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Empa Elektronik Sanayi VE Ticaret AS GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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