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	0.0816	26.77***
α ARCH Response to squared shocks	0.1762	32.06***
β GARCH Volatility persistence	0.9669	753.01***
γ leverage Additional response to negative shocks	0.0068	1.63

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National Aerospace Fastener EGARCH Volatility Analysis

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