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	0.1504	18.48***
β GARCH Volatility persistence	0.5778	23.28***
γ leverage Additional response to negative shocks	-0.0109	-0.88
λ₁ tau intercept Baseline long-term coefficient	0.0260	1.26
λ₂ forecast adj. Forecast performance sensitivity	0.0363	2.10**
λ₃ tau persistence Long-term factor persistence	0.9574	46.75***

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