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	0.9946	12.48***
α ARCH Response to squared shocks	0.1039	5.35***
β GARCH Volatility persistence	0.7624	17.52***

V-Lab

Warsaw Stock Exchange Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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Parameter Estimates

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