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	0.1734	8.65***
α ARCH Response to squared shocks	0.0944	9.61***
β GARCH Volatility persistence	0.8791	168.57***
γ leverage Additional response to negative shocks	0.0530	1.32

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Indonesia Prima Prop (Pt) GJR-GARCH Volatility Analysis

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