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	1.3152	3.15***
α ARCH Response to squared shocks	0.1365	3.56***
β GARCH Volatility persistence	0.6919	9.96***

γ₁	0.6102	2.19**
γ₂	-0.7030	-1.76*
γ₃	0.1053	0.41
γ₄	-0.4739	-2.10**
γ₅	1.4893	5.65***
γ₆	-1.8729	-6.90***
γ₇	1.0141	3.93***
γ₈	-0.0147	-0.07
γ₉	-0.2464	-1.55

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Dyaco International Inc Zero Slope Spline-GARCH Volatility Analysis

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