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	0.2805	13.99***
α ARCH Response to squared shocks	0.0593	12.21***
β GARCH Volatility persistence	0.7858	75.11***
γ leverage Additional response to negative shocks	0.0694	5.36***

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Warsaw Stock Exchange GJR-GARCH Volatility Analysis

Date Range:

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