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	1.0887	4.33***
α ARCH Response to squared shocks	0.2976	7.63***
β GARCH Volatility persistence	0.5141	9.36***

γ₁	-0.0732	-1.30
γ₂	0.1732	2.26**
γ₃	-0.1472	-3.22***
γ₄	0.0100	0.16

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Tgs Dis Ticaret As Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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