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
m window Rolling window length	21
α ARCH Response to squared shocks	0.0575	22.67***
β GARCH Volatility persistence	0.8045	98.84***
γ leverage Additional response to negative shocks	0.0859	17.87***
λ₁ tau intercept Baseline long-term coefficient	0.0093	6.43***
λ₂ forecast adj. Forecast performance sensitivity	0.0378	6.44***
λ₃ tau persistence Long-term factor persistence	0.9577	152.16***

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Warsaw Stock Exchange WIG Total Return Index MF2-GARCH Volatility Analysis

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