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	6.5755	3.34***
α ARCH Response to squared shocks	0.0629	39.06***
β GARCH Volatility persistence	0.9898	335.18***
ν DF Student-t tail thickness	3.2775	19.58***

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Lena Lighting SA GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Lena Lighting SA Analyses