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	0.4374	11.25***
α ARCH Response to squared shocks	0.2311	10.32***
β GARCH Volatility persistence	0.7947	70.87***
γ leverage Additional response to negative shocks	-0.1537	-6.00***

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

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