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	96
α ARCH Response to squared shocks	0.0396	12.09***
β GARCH Volatility persistence	0.7942	130.56***
γ leverage Additional response to negative shocks	0.1174	21.36***
λ₁ tau intercept Baseline long-term coefficient	0.3883	3.78***
λ₂ forecast adj. Forecast performance sensitivity	0.8281	9.03***
λ₃ tau persistence Long-term factor persistence	0.0805	0.70

V-Lab

BIST 30 Index MF2-GARCH Volatility Analysis

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