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	2.1359	6.32***
α ARCH Response to squared shocks	0.2397	9.03***
β GARCH Volatility persistence	0.5044	10.22***

γ₁	0.0313	0.42
γ₂	-0.0093	-0.09
γ₃	0.0708	0.94
γ₄	-0.2742	-3.81***
γ₅	0.3516	5.01***
γ₆	-0.2642	-3.74***
γ₇	0.1225	1.59
γ₈	-0.0553	-0.63
γ₉	0.0913	1.16
γ₁₀	-0.0988	-1.96*

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Wawel Sa Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wawel Sa Analyses