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	0.1320	3.20***
α ARCH Response to squared shocks	0.2653	31.25***
β GARCH Volatility persistence	0.7242	119.60***

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Gazprom PAO MEM Volatility Analysis

Date Range:

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Volatility Forecast

Parameter Estimates

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