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	1.3953	6.78***
α ARCH Response to squared shocks	0.1132	8.60***
β GARCH Volatility persistence	0.8189	36.91***

γ₁	0.2035	2.49**
γ₂	-0.2912	-2.42**
γ₃	-0.0126	-0.14
γ₄	0.2809	2.36**
γ₅	-0.3247	-2.38**
γ₆	0.2915	2.37**
γ₇	-0.2853	-2.28**
γ₈	0.2168	1.55
γ₉	0.0773	0.49

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National Aerospace Fastener Spline-GARCH Volatility Analysis

Date Range:

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