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	0.0936	14.81***
α ARCH Response to squared shocks	0.1034	13.73***
β GARCH Volatility persistence	0.8893	220.08***
γ leverage Additional response to negative shocks	-0.0227	-1.93*

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