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	0.3803	25.13***
α ARCH Response to squared shocks	0.2155	37.97***
β GARCH Volatility persistence	0.7065	100.31***

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Wawel Sa GARCH Volatility Analysis

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