CBOE Emerging Market Markets Volatility Index

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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	0.0473	20.36***
α ARCH Response to squared shocks	0.0296	10.69***
β GARCH Volatility persistence	0.8949	329.36***
γ leverage Additional response to negative shocks	0.1085	17.00***

V-Lab

iShares MSCI Emerging Markets ETF GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other iShares MSCI Emerging Markets ETF Analyses