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	0.1302	10.47***
α ARCH Response to squared shocks	0.0521	9.16***
β GARCH Volatility persistence	0.9083	151.89***
γ leverage Additional response to negative shocks	0.0193	1.77*

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Emaar Misr For Development GJR-GARCH Volatility Analysis

Date Range:

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