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	0.5380	2.23**
α ARCH Response to squared shocks	0.1321	6.00***
β GARCH Volatility persistence	0.7076	12.90***

γ₁	-0.9657	-4.39***
γ₂	1.6391	4.67***
γ₃	-1.1639	-3.80***
γ₄	0.6903	2.91***
γ₅	-0.1946	-1.31
γ₆	-0.0990	-1.05
γ₇	0.2895	4.12***
γ₈	-0.3952	-5.51***
γ₉	0.3511	4.46***
γ₁₀	-0.2158	-3.32***

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Elsaeed Contracting & Real Estate Investment Co SCCD Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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