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	0.0932	15.83***
α ARCH Response to squared shocks	0.0396	13.40***
β GARCH Volatility persistence	0.8887	250.41***
γ leverage Additional response to negative shocks	0.0803	7.65***

V-Lab

Sonda S.A. GJR-GARCH Volatility Analysis

Date Range:

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