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	1.5946	6.39***
α ARCH Response to squared shocks	0.1543	7.80***
β GARCH Volatility persistence	0.7053	19.90***

γ₁	0.0438	1.31
γ₂	-0.1099	-2.23**
γ₃	0.1243	3.74***
γ₄	-0.0975	-3.17***
γ₅	0.0896	2.76***
γ₆	-0.0569	-1.81*
γ₇	-0.0256	-0.87
γ₈	0.0486	2.19**

V-Lab

Turkiye Sigorta As Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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