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	2.7983	8.48***
α ARCH Response to squared shocks	0.1140	36.94***
β GARCH Volatility persistence	0.9748	311.84***
ν DF Student-t tail thickness	4.9692	13.66***

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Egyptian EGX 30 Price Return Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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