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	36
α ARCH Response to squared shocks	0.1294	17.15***
β GARCH Volatility persistence	0.6547	29.85***
γ leverage Additional response to negative shocks	0.0371	2.84***
λ₁ tau intercept Baseline long-term coefficient	2.2679	0.64
λ₂ forecast adj. Forecast performance sensitivity	0.7934	0.54
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Servet Gayrimenkul Yatirim MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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