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
m window Rolling window length	21
α ARCH Response to squared shocks	0.2154	29.44***
β GARCH Volatility persistence	0.5498	31.50***
γ leverage Additional response to negative shocks	-0.0644	-8.12***
λ₁ tau intercept Baseline long-term coefficient	0.1039	2.79***
λ₂ forecast adj. Forecast performance sensitivity	0.0794	3.24***
λ₃ tau persistence Long-term factor persistence	0.9120	34.83***

V-Lab

I-Hwa Industrial Co Ltd MF2-GARCH Volatility Analysis

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