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	2,079.7190	7.49***
α ARCH Response to squared shocks	0.3105	63.22***
β GARCH Volatility persistence	0.9946	1,588.82***
ν DF Student-t tail thickness	2.4365	69.52***

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G-Devs SA GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other G-Devs SA Analyses