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	0.0881	11.96***
α ARCH Response to squared shocks	0.1480	24.53***
β GARCH Volatility persistence	0.8169	102.06***

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Egyptian Financial Group Hermes Stock Market Index GARCH Volatility Analysis

Date Range:

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