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	0.3795	24.96***
α ARCH Response to squared shocks	0.2045	22.60***
β GARCH Volatility persistence	0.7055	99.24***
γ leverage Additional response to negative shocks	0.0260	1.79*

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Wawel Sa GJR-GARCH Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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