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	0.0311	13.54***
α ARCH Response to squared shocks	0.0529	14.30***
β GARCH Volatility persistence	0.9433	432.50***
γ leverage Additional response to negative shocks	-0.0029	-0.47

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G-Shank Enterprise Co Ltd GJR-GARCH Volatility Analysis

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