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	0.5882	15.39***
α ARCH Response to squared shocks	0.1308	12.94***
β GARCH Volatility persistence	0.7560	73.06***
γ leverage Additional response to negative shocks	0.0295	1.53

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Caswell Inc GJR-GARCH Volatility Analysis

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