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	0.8805	16.64***
α ARCH Response to squared shocks	0.1447	16.87***
β GARCH Volatility persistence	0.8252	131.94***
γ leverage Additional response to negative shocks	-0.0240	-1.75*

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Varopakorn Co GJR-GARCH Volatility Analysis

Date Range:

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