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	0.4176	11.58***
α ARCH Response to squared shocks	0.1358	14.87***
β GARCH Volatility persistence	0.8297	127.40***
γ leverage Additional response to negative shocks	0.0086	0.54

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Servet Gayrimenkul Yatirim GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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