CBOE Emerging Market Markets Volatility Index

EURO STOXX 50 Volatility Index

How illiquidity evolves over time

{name} Model Equation

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4435	30.63***
α ARCH Response to squared shocks	0.2375	44.03***
β GARCH Volatility persistence	0.6715	108.62***
γ leverage Additional response to negative shocks	-0.0035	-0.10

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Wawel Sa AGARCH Volatility Analysis

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