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	1.8800	13.77***
α ARCH Response to squared shocks	0.0977	34.88***
β GARCH Volatility persistence	0.9692	505.05***
ν DF Student-t tail thickness	6.1476	8.20***

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Philippines Stock Exchange PSEi Index GAS-GARCH Student T Volatility Analysis

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