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	0.1261	18.16***
α ARCH Response to squared shocks	0.0793	14.16***
β GARCH Volatility persistence	0.9046	325.99***
γ leverage Additional response to negative shocks	0.0033	0.36

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National Aerospace Fastener GJR-GARCH Volatility Analysis

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