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	0.9794	8.92***
α ARCH Response to squared shocks	0.1489	6.49***
β GARCH Volatility persistence	0.5925	9.61***

γ₁	-0.0341	-1.59
γ₂	0.0002	0.01
γ₃	0.0901	2.93***
γ₄	-0.0989	-3.34***
γ₅	0.0642	3.05***

V-Lab

Lena Lighting SA Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Lena Lighting SA Analyses