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	1.6335	6.55***
α ARCH Response to squared shocks	0.1546	7.72***
β GARCH Volatility persistence	0.7031	19.55***

γ₁	0.0542	1.63
γ₂	-0.1272	-2.61***
γ₃	0.1369	4.16***
γ₄	-0.1077	-3.53***
γ₅	0.0974	3.00***
γ₆	-0.0624	-1.92*
γ₇	-0.0198	-0.55
γ₈	0.0383	0.72

V-Lab

Turkiye Sigorta As Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Turkiye Sigorta As Analyses