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	0.8244	18.66***
α ARCH Response to squared shocks	0.3768	24.13***
β GARCH Volatility persistence	0.6567	96.25***
γ leverage Additional response to negative shocks	0.1092	1.15

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PT M Cash Integras AGARCH Volatility Analysis

Date Range:

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