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	2.1103	6.18***
α ARCH Response to squared shocks	0.2432	9.14***
β GARCH Volatility persistence	0.5027	10.24***

γ₁	0.0265	0.35
γ₂	-0.0014	-0.01
γ₃	0.0632	0.84
γ₄	-0.2661	-3.68***
γ₅	0.3464	4.91***
γ₆	-0.2620	-3.72***
γ₇	0.1205	1.58
γ₈	-0.0493	-0.57
γ₉	0.0770	0.98
γ₁₀	-0.0830	-1.66*

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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