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	0.4274	11.19***
α ARCH Response to squared shocks	0.2291	10.39***
β GARCH Volatility persistence	0.7971	72.32***
γ leverage Additional response to negative shocks	-0.1527	-6.05***

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CH Biotech R&D Co Ltd GJR-GARCH Volatility Analysis

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