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	1.5862	6.39***
α ARCH Response to squared shocks	0.1543	7.73***
β GARCH Volatility persistence	0.7029	19.53***

γ₁	0.0443	1.32
γ₂	-0.1112	-2.26**
γ₃	0.1258	3.80***
γ₄	-0.0987	-3.22***
γ₅	0.0900	2.78***
γ₆	-0.0560	-1.78*
γ₇	-0.0252	-0.84
γ₈	0.0460	2.04**

V-Lab

Turkiye Sigorta As Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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