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	0.9654	9.84***
α ARCH Response to squared shocks	0.1417	6.45***
β GARCH Volatility persistence	0.6208	10.37***

γ₁	-0.0389	-4.14***
γ₂	0.0630	4.40***
γ₃	-0.0526	-3.80***

V-Lab

Lena Lighting SA Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Lena Lighting SA Analyses