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	0.0647	19.35***
α ARCH Response to squared shocks	0.0675	18.88***
β GARCH Volatility persistence	0.9015	366.33***
γ leverage Additional response to negative shocks	0.0428	6.80***

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BIST 30 Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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