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	0.1203	18.04***
β GARCH Volatility persistence	0.6916	52.02***
γ leverage Additional response to negative shocks	0.0031	0.28
λ₁ tau intercept Baseline long-term coefficient	0.0028	1.03
λ₂ forecast adj. Forecast performance sensitivity	0.0070	2.51**
λ₃ tau persistence Long-term factor persistence	0.9913	258.35***

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Zeng Hsing Industrial Co Ltd MF2-GARCH Volatility Analysis

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