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	0.0469	10.02***
α ARCH Response to squared shocks	0.0305	7.30***
β GARCH Volatility persistence	0.9578	294.26***
γ leverage Additional response to negative shocks	0.0044	0.87

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Lena Lighting SA GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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