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
α ARCH Response to squared shocks	0.4694	14.55***
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	0.1242	1.85*
λ₁ tau intercept Baseline long-term coefficient	49.1027

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G-Devs SA MF2-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other G-Devs SA Analyses