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	1.5916	6.40***
α ARCH Response to squared shocks	0.1543	7.76***
β GARCH Volatility persistence	0.7038	19.66***

γ₁	0.0441	1.32
γ₂	-0.1107	-2.25**
γ₃	0.1250	3.77***
γ₄	-0.0980	-3.20***
γ₅	0.0897	2.77***
γ₆	-0.0566	-1.80*
γ₇	-0.0249	-0.84
γ₈	0.0471	2.11**

V-Lab

Turkiye Sigorta As Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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