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	199.2588	5.93***
α ARCH Response to squared shocks	0.0854	103.50***
β GARCH Volatility persistence	0.9946	1,152.51***
ν DF Student-t tail thickness	2.0111

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Addcn Technology Co Ltd GAS-GARCH Student T Volatility Analysis

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