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	76
α ARCH Response to squared shocks	0.2789	25.42***
β GARCH Volatility persistence	0.4226	27.06***
γ leverage Additional response to negative shocks	-0.1051	-5.91***
λ₁ tau intercept Baseline long-term coefficient	2.7921	1.68*
λ₂ forecast adj. Forecast performance sensitivity	0.7282	6.33***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Kafr El-Zayat Pesticides & Chemicals Co MF2-GARCH Volatility Analysis

Date Range:

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