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

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2524	17.72***
α ARCH Response to squared shocks	0.2088	38.77***
β GARCH Volatility persistence	0.7446	96.80***
γ leverage Additional response to negative shocks	0.0160	1.06
δ power Transformation power	1.4019	29.11***

V-Lab

Wawel Sa APARCH Volatility Analysis

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