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	0.9359	7.81***
α ARCH Response to squared shocks	0.1967	2.56**
β GARCH Volatility persistence	0.7342	5.97***

V-Lab

Empa Elektronik Sanayi VE Ticaret AS Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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