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	0.0303	20.05***
α ARCH Response to squared shocks	0.0349	13.23***
β GARCH Volatility persistence	0.9093	368.29***
γ leverage Additional response to negative shocks	0.0772	13.35***

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FTSE TWSE Taiwan 50 Index GJR-GARCH Volatility Analysis

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