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	0.0234	18.90***
α ARCH Response to squared shocks	0.0544	15.51***
β GARCH Volatility persistence	0.9231	379.88***
γ leverage Additional response to negative shocks	0.0267	4.76***

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Warsaw Stock Exchange WIG Total Return Index GJR-GARCH Volatility Analysis

Date Range:

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