CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1898	12.75***
α ARCH Response to squared shocks	0.0491	12.63***
β GARCH Volatility persistence	0.9161	235.21***
γ leverage Additional response to negative shocks	0.0037	0.57

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Arcadyan Technology Corp GJR-GARCH Volatility Analysis

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