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
m window Rolling window length	26
α ARCH Response to squared shocks	0.1201	17.53***
β GARCH Volatility persistence	0.6241	33.66***
γ leverage Additional response to negative shocks	0.0448	4.55***
λ₁ tau intercept Baseline long-term coefficient	0.0005	0.12
λ₂ forecast adj. Forecast performance sensitivity	0.0047	1.58
λ₃ tau persistence Long-term factor persistence	0.9950	253.12***

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Lena Lighting SA MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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