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	0.1427	26.37***
β GARCH Volatility persistence	0.6698	61.57***
γ leverage Additional response to negative shocks	0.0404	4.61***
λ₁ tau intercept Baseline long-term coefficient	0.0163	2.53**
λ₂ forecast adj. Forecast performance sensitivity	0.0131	5.75***
λ₃ tau persistence Long-term factor persistence	0.9852	367.90***

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Turkiye Sigorta As MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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