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	0.1678	7.90***
α ARCH Response to squared shocks	0.0772	6.23***
β GARCH Volatility persistence	0.9014	104.57***
γ leverage Additional response to negative shocks	0.0200	1.29

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Fic Global Inc GJR-GARCH Volatility Analysis

Date Range:

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