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	0.0162	0.65
β GARCH Volatility persistence	0.9869	72.58***
γ leverage Additional response to negative shocks	-0.0162	-0.71
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.1028	0.41
λ₃ tau persistence Long-term factor persistence	0.6240	2.83***

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Empa Elektronik Sanayi VE Ticaret AS MF2-GARCH Volatility Analysis

Date Range:

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