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	21
α ARCH Response to squared shocks	0.4088	30.73***
β GARCH Volatility persistence	0.2295	11.21***
γ leverage Additional response to negative shocks	-0.1007	-3.87***
λ₁ tau intercept Baseline long-term coefficient	0.7454	1.57
λ₂ forecast adj. Forecast performance sensitivity	0.1654	2.19**
λ₃ tau persistence Long-term factor persistence	0.7860	7.57***

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Tgs Dis Ticaret As MF2-GARCH Volatility Analysis

Date Range:

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