CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9832	8.92***
α ARCH Response to squared shocks	0.2475	7.46***
β GARCH Volatility persistence	0.7013	34.85***
γ leverage Additional response to negative shocks	-0.0488	-1.03

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Visne Madencilik Uretim Sana GJR-GARCH Volatility Analysis

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