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	0.0980	6.06***
α ARCH Response to squared shocks	0.2184	23.58***
β GARCH Volatility persistence	0.7575	68.41***

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Egyptian EGX 30 Price Return Index MEM Volatility Analysis

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