CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4455	16.63***
α ARCH Response to squared shocks	0.0864	16.60***
β GARCH Volatility persistence	0.8577	174.72***
γ leverage Additional response to negative shocks	0.0012	0.14

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