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	96
α ARCH Response to squared shocks	0.0407	21.33***
β GARCH Volatility persistence	0.8759	258.00***
γ leverage Additional response to negative shocks	0.0532	15.28***
λ₁ tau intercept Baseline long-term coefficient	0.4253	5.79***
λ₂ forecast adj. Forecast performance sensitivity	0.7830	12.85***
λ₃ tau persistence Long-term factor persistence	0.1225	1.65*

V-Lab

Taiwan Semiconductor Mfg Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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