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	0.0411	16.17***
α ARCH Response to squared shocks	0.0709	34.89***
β GARCH Volatility persistence	0.9263	422.02***

V-Lab

Borsa Istanbul 100 Index GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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