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	51.2799	3.66***
α ARCH Response to squared shocks	0.1803	87.50***
β GARCH Volatility persistence	0.9866	279.80***
ν DF Student-t tail thickness	2.4282	128.62***

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Trusval Technology GAS-GARCH Student T Volatility Analysis

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