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	1.1769	7.93***
α ARCH Response to squared shocks	0.0642	8.91***
β GARCH Volatility persistence	0.9091	90.45***

γ₁	-0.0135	-3.30***
γ₂	0.0244	4.05***
γ₃	-0.0139	-4.30***

V-Lab

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