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	365.4628	2.35**
α ARCH Response to squared shocks	0.1692	94.74***
β GARCH Volatility persistence	0.9828	136.13***
ν DF Student-t tail thickness	2.0259	1,376.30***

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

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News Impact Curve

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