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	0.0426	17.18***
α ARCH Response to squared shocks	0.0670	16.00***
β GARCH Volatility persistence	0.9251	401.33***
γ leverage Additional response to negative shocks	0.0105	1.43

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Borsa Istanbul 100 Index GJR-GARCH Volatility Analysis

Date Range:

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