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	16.9761	3.37***
α ARCH Response to squared shocks	0.1654	26.04***
β GARCH Volatility persistence	0.9624	87.41***
ν DF Student-t tail thickness	2.9772	22.13***

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Servet Gayrimenkul Yatirim GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Servet Gayrimenkul Yatirim Analyses