CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	60.6663	2.99***
α ARCH Response to squared shocks	0.2176	5.60***
β GARCH Volatility persistence	0.9600	43.10***
ν DF Student-t tail thickness	200.0000	0.07

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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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