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	0.1611	33.08***
α ARCH Response to squared shocks	0.2116	30.35***
β GARCH Volatility persistence	0.6950	161.34***
γ leverage Additional response to negative shocks	0.0911	8.32***

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Borsa Istanbul 100 Index Asy. MEM Volatility Analysis

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