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	0.0086	21.99***
α ARCH Response to squared shocks	0.0736	26.80***
β GARCH Volatility persistence	0.8909	434.18***
γ leverage Additional response to negative shocks	0.0664	11.25***

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FTSE Bursa Malaysia KLCI Index - Kuala Lumpur Composite Index GJR-GARCH Volatility Analysis

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