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	1.3875	6.62***
α ARCH Response to squared shocks	0.1121	8.62***
β GARCH Volatility persistence	0.8244	38.63***

γ₁	0.1972	2.35**
γ₂	-0.2837	-2.30**
γ₃	-0.0120	-0.13
γ₄	0.2768	2.26**
γ₅	-0.3224	-2.30**
γ₆	0.2998	2.39**
γ₇	-0.3221	-2.58***
γ₈	0.3201	2.37**
γ₉	-0.2217	-2.30**

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National Aerospace Fastener Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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