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	1.1773	2.99***
α ARCH Response to squared shocks	0.1325	5.77***
β GARCH Volatility persistence	0.7487	14.35***

γ₁	1.3828	1.90*
γ₂	-2.1665	-2.11**
γ₃	1.6067	2.45**
γ₄	-1.8077	-2.63***
γ₅	1.9950	2.63***
γ₆	-2.1472	-3.31***
γ₇	1.8170	2.91***
γ₈	-0.3164	-0.51
γ₉	-0.7564	-1.48
γ₁₀	0.3567	1.04

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Apaq Technology Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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