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	0.0523	4.00***
α ARCH Response to squared shocks	0.0224	5.98***
β GARCH Volatility persistence	0.9745	283.28***
γ leverage Additional response to negative shocks	-0.0044	-0.70

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Elsaeed Contracting & Real Estate Investment Co SCCD GJR-GARCH Volatility Analysis

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