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	0.0174	14.68***
α ARCH Response to squared shocks	0.1625	42.00***
β GARCH Volatility persistence	0.9855	1,424.06***
γ leverage Additional response to negative shocks	-0.0601	-19.85***

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Taiwan Stock Exchange Weighted Index EGARCH Volatility Analysis

Date Range:

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