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
m window Rolling window length	51
α ARCH Response to squared shocks	0.5419	147.42***
β GARCH Volatility persistence	0.0000	0.01
γ leverage Additional response to negative shocks	-0.5000	-113.61***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0901	2.69***
λ₃ tau persistence Long-term factor persistence	0.9099	15.89***

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Empa Elektronik Sanayi VE Ticaret AS MF2-GARCH Volatility Analysis

Date Range:

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