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	1.5094	18.94***
α ARCH Response to squared shocks	0.1328	25.95***
β GARCH Volatility persistence	0.8241	144.80***

V-Lab

Theta Edge Berhad GARCH Volatility Analysis

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