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	0.2754	20.86***
α ARCH Response to squared shocks	0.1731	39.02***
β GARCH Volatility persistence	0.7462	118.41***
γ leverage Additional response to negative shocks	-0.0397	-4.48***
δ power Transformation power	1.8644	33.47***

V-Lab

Wawel Sa Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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