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	1.5384	9.16***
α ARCH Response to squared shocks	0.1284	7.88***
β GARCH Volatility persistence	0.7134	17.96***

γ₁	0.0408	1.91*
γ₂	-0.0739	-2.22**
γ₃	0.0675	3.31***
γ₄	-0.0451	-3.08***
γ₅	0.0094	0.92

V-Lab

Phihong Technology Zero Slope Spline-GARCH Volatility Analysis

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