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
m window Rolling window length	31
α ARCH Response to squared shocks	0.2595	24.12***
β GARCH Volatility persistence	0.6221	66.57***
γ leverage Additional response to negative shocks	0.1420	5.75***
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.93
λ₂ forecast adj. Forecast performance sensitivity	0.3190	1.01
λ₃ tau persistence Long-term factor persistence	0.4920	0.91

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G-Devs SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other G-Devs SA Analyses