CBOE Emerging Market Markets 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	0.1214	16.68***
α ARCH Response to squared shocks	0.0981	19.60***
β GARCH Volatility persistence	0.9064	318.16***
γ leverage Additional response to negative shocks	-0.0305	-4.34***

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I-Hwa Industrial Co Ltd GJR-GARCH Volatility Analysis

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