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	0.1917	12.78***
α ARCH Response to squared shocks	0.0493	12.66***
β GARCH Volatility persistence	0.9155	232.90***
γ leverage Additional response to negative shocks	0.0035	0.54

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Arcadyan Technology Corp GJR-GARCH Volatility Analysis

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