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	0.8136	3.76***
α ARCH Response to squared shocks	0.1606	6.38***
β GARCH Volatility persistence	0.7890	24.41***

γ₁	0.0746	0.31
γ₂	-0.0771	-0.17
γ₃	-0.2773	-0.57
γ₄	0.4858	1.16
γ₅	-0.2478	-0.75
γ₆	0.2092	0.45
γ₇	-0.5484	-0.90
γ₈	0.8545	1.45
γ₉	-0.7625	-2.02**
γ₁₀	0.3468	1.84*

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Fic Global Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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