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	0.3251	20.08***
α ARCH Response to squared shocks	0.1121	19.64***
β GARCH Volatility persistence	0.8419	180.05***
γ leverage Additional response to negative shocks	-0.0079	-0.75

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Para Light Electronics Co GJR-GARCH Volatility Analysis

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