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	0.8084	3.79***
α ARCH Response to squared shocks	0.1608	6.38***
β GARCH Volatility persistence	0.7870	24.24***

γ₁	0.0781	0.33
γ₂	-0.0839	-0.19
γ₃	-0.2723	-0.56
γ₄	0.4848	1.17
γ₅	-0.2543	-0.77
γ₆	0.2249	0.47
γ₇	-0.5660	-0.93
γ₈	0.8700	1.50
γ₉	-0.7848	-2.12**
γ₁₀	0.3703	1.98**

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Fic Global Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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