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	0.2924	25.49***
α ARCH Response to squared shocks	0.1819	26.72***
β GARCH Volatility persistence	0.7457	120.06***
γ leverage Additional response to negative shocks	-0.0245	-2.09**

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Wawel Sa Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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