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	0.3820	20.93***
α ARCH Response to squared shocks	0.0743	13.36***
β GARCH Volatility persistence	0.8744	227.22***
γ leverage Additional response to negative shocks	0.0202	1.81*

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Htc Corporation GJR-GARCH Volatility Analysis

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