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	0.0059	3.70***
α ARCH Response to squared shocks	0.0860	41.64***
β GARCH Volatility persistence	0.9019	427.25***
γ leverage Additional response to negative shocks	0.5624	29.27***

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Taiwan Stock Exchange Weighted Index AGARCH Volatility Analysis

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