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	0.0472	11.99***
α ARCH Response to squared shocks	0.0846	13.50***
β GARCH Volatility persistence	0.9099	228.17***
γ leverage Additional response to negative shocks	-0.0259	-3.41***

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Zeng Hsing Industrial Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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