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
m window Rolling window length	21
α ARCH Response to squared shocks	0.2308	25.82***
β GARCH Volatility persistence	0.4813	36.40***
γ leverage Additional response to negative shocks	0.0287	2.30**
λ₁ tau intercept Baseline long-term coefficient	0.0150	2.83***
λ₂ forecast adj. Forecast performance sensitivity	0.0209	4.85***
λ₃ tau persistence Long-term factor persistence	0.9752	182.90***

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Wawel Sa MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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