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	2,217.7189	8.98***
α ARCH Response to squared shocks	0.0855	219.90***
β GARCH Volatility persistence	0.9990	8,763.16***
ν DF Student-t tail thickness	2.0001

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Kafr El-Zayat Pesticides & Chemicals Co GAS-GARCH Student T Volatility Analysis

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