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	2.7509	3.79***
α ARCH Response to squared shocks	0.2426	4.70***
β GARCH Volatility persistence	0.7473	29.18***
γ leverage Additional response to negative shocks	-0.1348	-1.97**

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Empa Elektronik Sanayi VE Ticaret AS GJR-GARCH Volatility Analysis

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