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	1.3614	6.46***
α ARCH Response to squared shocks	0.1122	8.62***
β GARCH Volatility persistence	0.8239	38.49***

γ₁	0.1889	2.23**
γ₂	-0.2724	-2.19**
γ₃	-0.0166	-0.17
γ₄	0.2789	2.27**
γ₅	-0.3233	-2.31**
γ₆	0.3009	2.41**
γ₇	-0.3225	-2.58***
γ₈	0.3165	2.35**
γ₉	-0.2162	-2.26**

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National Aerospace Fastener Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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