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	348.4275	2.38**
α ARCH Response to squared shocks	0.1664	95.89***
β GARCH Volatility persistence	0.9832	141.28***
ν DF Student-t tail thickness	2.0269	1,343.24***

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CH Biotech R&D Co Ltd GAS-GARCH Student T Volatility Analysis

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