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	16.3709	2.67***
α ARCH Response to squared shocks	0.1031	50.32***
β GARCH Volatility persistence	0.9845	167.37***
ν DF Student-t tail thickness	2.5471	51.08***

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Hwacom Systems Inc GAS-GARCH Student T Volatility Analysis

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