CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	44.9190	3.50***
α ARCH Response to squared shocks	0.1771	81.55***
β GARCH Volatility persistence	0.9853	242.38***
ν DF Student-t tail thickness	2.4425	114.28***

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Trusval Technology GAS-GARCH Student T Volatility Analysis

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