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	0.0240	17.71***
α ARCH Response to squared shocks	0.0679	23.40***
β GARCH Volatility persistence	0.9221	369.72***

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Warsaw Stock Exchange WIG Total Return Index GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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