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	72.6249	5.26***
α ARCH Response to squared shocks	0.1472	55.66***
β GARCH Volatility persistence	0.9964	1,628.18***
ν DF Student-t tail thickness	4.2436	24.90***

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Arab CO. FOR AST M GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Arab CO. FOR AST M Analyses