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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	8.10***
α ARCH Response to squared shocks	0.5101	6.43***
β GARCH Volatility persistence	0.4839	16.07***
γ leverage Additional response to negative shocks	0.0120	0.11

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G-Devs SA GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other G-Devs SA Analyses