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	36
α ARCH Response to squared shocks	0.1049	18.61***
β GARCH Volatility persistence	0.6046	29.60***
γ leverage Additional response to negative shocks	0.0624	5.72***
λ₁ tau intercept Baseline long-term coefficient	0.2644	1.42
λ₂ forecast adj. Forecast performance sensitivity	0.0813	1.55
λ₃ tau persistence Long-term factor persistence	0.8905	13.09***

V-Lab

Htc Corporation MF2-GARCH Volatility Analysis

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