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	2.6836	4.94***
α ARCH Response to squared shocks	0.0807	11.87***
β GARCH Volatility persistence	0.9416	76.63***
ν DF Student-t tail thickness	3.3715	6.54***

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Warsaw Stock Exchange GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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