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	26.1140	4.17***
α ARCH Response to squared shocks	0.1106	84.73***
β GARCH Volatility persistence	0.9904	450.60***
ν DF Student-t tail thickness	2.4643	134.78***

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Apaq Technology Co Ltd GAS-GARCH Student T Volatility Analysis

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