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	66.0366	6.62***
α ARCH Response to squared shocks	0.1586	84.60***
β GARCH Volatility persistence	0.9940	1,159.89***
ν DF Student-t tail thickness	2.2698	433.83***

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Dana Brata Luhur Tbk PT GAS-GARCH Student T Volatility Analysis

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