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	1.1063	6.67***
α ARCH Response to squared shocks	0.1273	7.44***
β GARCH Volatility persistence	0.7657	25.57***

γ₁	-0.0240	-0.96
γ₂	0.0196	0.52
γ₃	0.0086	0.30
γ₄	0.0405	1.71*
γ₅	-0.0798	-5.13***

V-Lab

Kinik Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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