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	0.0880	12.22***
α ARCH Response to squared shocks	0.1467	24.60***
β GARCH Volatility persistence	0.8173	103.31***
γ leverage Additional response to negative shocks	0.1395	6.79***

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Egyptian Financial Group Hermes Stock Market Index AGARCH Volatility Analysis

Date Range:

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