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	0.1238	18.05***
α ARCH Response to squared shocks	0.0784	14.11***
β GARCH Volatility persistence	0.9057	328.49***
γ leverage Additional response to negative shocks	0.0038	0.40

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National Aerospace Fastener GJR-GARCH Volatility Analysis

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