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	6.2252	2.47**
α ARCH Response to squared shocks	0.0376	12.41***
β GARCH Volatility persistence	0.9777	121.32***
ν DF Student-t tail thickness	2.7714	7.10***

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Emaar Misr For Development GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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