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	0.4861	8.59***
α ARCH Response to squared shocks	0.1381	9.67***
β GARCH Volatility persistence	0.8233	71.12***
γ leverage Additional response to negative shocks	0.0116	0.40

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Ever Ohms Technology Co Ltd GJR-GARCH Volatility Analysis

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