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	0.1213	19.18***
β GARCH Volatility persistence	0.5959	30.69***
γ leverage Additional response to negative shocks	0.0417	4.45***
λ₁ tau intercept Baseline long-term coefficient	0.0109	1.24
λ₂ forecast adj. Forecast performance sensitivity	0.0253	2.23**
λ₃ tau persistence Long-term factor persistence	0.9728	80.17***

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