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	126
α ARCH Response to squared shocks	0.1179	21.70***
β GARCH Volatility persistence	0.5591	31.43***
γ leverage Additional response to negative shocks	0.0444	6.78***
λ₁ tau intercept Baseline long-term coefficient	0.3855	0.88
λ₂ forecast adj. Forecast performance sensitivity	0.1782	1.05
λ₃ tau persistence Long-term factor persistence	0.7724	3.36***

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