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	0.0223	22.29***
α ARCH Response to squared shocks	0.0450	19.57***
β GARCH Volatility persistence	0.9095	467.12***
γ leverage Additional response to negative shocks	0.0756	16.39***

V-Lab

Taiwan Stock Exchange Weighted Index GJR-GARCH Volatility Analysis

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