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	0.1228	18.03***
α ARCH Response to squared shocks	0.0780	14.10***
β GARCH Volatility persistence	0.9061	330.46***
γ leverage Additional response to negative shocks	0.0040	0.43

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National Aerospace Fastener GJR-GARCH Volatility Analysis

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