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	1.0979	4.25***
α ARCH Response to squared shocks	0.2919	7.60***
β GARCH Volatility persistence	0.5342	10.05***

γ₁	-0.0757	-1.33
γ₂	0.1820	2.38**
γ₃	-0.1700	-4.38***
γ₄	0.0736	2.90***

V-Lab

Tgs Dis Ticaret As Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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