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	1.1775	7.82***
α ARCH Response to squared shocks	0.0643	8.91***
β GARCH Volatility persistence	0.9097	91.27***

γ₁	-0.0137	-3.28***
γ₂	0.0246	4.02***
γ₃	-0.0141	-4.27***

V-Lab

Taiwan Semiconductor Mfg Co Zero Slope Spline-GARCH Volatility Analysis

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