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	21
α ARCH Response to squared shocks	0.0569	13.40***
β GARCH Volatility persistence	0.7925	137.56***
γ leverage Additional response to negative shocks	0.0916	15.05***
λ₁ tau intercept Baseline long-term coefficient	0.0009	0.85
λ₂ forecast adj. Forecast performance sensitivity	0.0055	3.31***
λ₃ tau persistence Long-term factor persistence	0.9943	500.88***

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Borsa Istanbul 100 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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