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
α ARCH Response to squared shocks	0.1206	26.56***
β GARCH Volatility persistence	0.8658	120.59***
γ leverage Additional response to negative shocks	0.0054	0.46
λ₁ tau intercept Baseline long-term coefficient	15.4975

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Ever Ohms Technology Co Ltd MF2-GARCH Volatility Analysis

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