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

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Parameter	Value	t-statistic
m window Rolling window length	76
α ARCH Response to squared shocks	0.2830	28.86***
β GARCH Volatility persistence	0.5266	23.59***
γ leverage Additional response to negative shocks	-0.2830	-32.17***
λ₁ tau intercept Baseline long-term coefficient	9.9966	0.02
λ₂ forecast adj. Forecast performance sensitivity	0.0241	0.02
λ₃ tau persistence Long-term factor persistence	0.2006	0.00

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Visne Madencilik Uretim Sana MF2-GARCH Volatility Analysis

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