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	2.2239	6.46***
α ARCH Response to squared shocks	0.2403	9.06***
β GARCH Volatility persistence	0.5083	10.71***

γ₁	0.0589	0.79
γ₂	-0.0530	-0.48
γ₃	0.0996	1.31
γ₄	-0.2990	-4.11***
γ₅	0.3760	5.29***
γ₆	-0.2890	-4.04***
γ₇	0.1502	1.92*
γ₈	-0.0977	-1.06
γ₉	0.1788	1.80*
γ₁₀	-0.3374	-2.33**

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Wawel Sa Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Wawel Sa Analyses