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	0.0624	24.05***
α ARCH Response to squared shocks	0.0958	41.01***
β GARCH Volatility persistence	0.9000	379.89***
γ leverage Additional response to negative shocks	0.3478	9.24***

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Borsa Istanbul 100 Index AGARCH Volatility Analysis

Date Range:

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