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	1.1769	20.98***
α ARCH Response to squared shocks	0.2348	18.76***
β GARCH Volatility persistence	0.6986	78.72***
γ leverage Additional response to negative shocks	-0.0211	-1.01

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Tgs Dis Ticaret As GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

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