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	7.8404	3.40***
α ARCH Response to squared shocks	0.0722	19.97***
β GARCH Volatility persistence	0.9754	138.07***
ν DF Student-t tail thickness	3.2196	11.00***

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Arcadyan Technology Corp GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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