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	1.9032	5.46***
α ARCH Response to squared shocks	0.0774	8.48***
β GARCH Volatility persistence	0.9038	89.32***

γ₁	0.0040	2.32**
γ₂	-0.0039	-1.83*

V-Lab

Warsaw Stock Exchange WIG Total Return Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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