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
m window Rolling window length	61
α ARCH Response to squared shocks	0.0977	14.94***
β GARCH Volatility persistence	0.7072	42.44***
γ leverage Additional response to negative shocks	0.0861	11.64***
λ₁ tau intercept Baseline long-term coefficient	0.4379	1.15
λ₂ forecast adj. Forecast performance sensitivity	0.8084	1.02
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Egyptian Financial Group Hermes Stock Market Index MF2-GARCH Volatility Analysis

Date Range:

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