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	5.4881	6.77***
α ARCH Response to squared shocks	0.1476	25.84***
β GARCH Volatility persistence	0.9363	99.63***
ν DF Student-t tail thickness	3.0408	21.59***

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Wawel Sa GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wawel Sa Analyses