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	0.1936	16.07***
α ARCH Response to squared shocks	0.1778	37.55***
β GARCH Volatility persistence	0.7885	175.66***
γ leverage Additional response to negative shocks	0.0000	0.00
δ power Transformation power	1.8042	26.34***

V-Lab

Lena Lighting SA Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Lena Lighting SA Analyses