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	46
α ARCH Response to squared shocks	0.1382	26.02***
β GARCH Volatility persistence	0.7474	65.84***
γ leverage Additional response to negative shocks	-0.0087	-1.38
λ₁ tau intercept Baseline long-term coefficient	0.0600	3.62***
λ₂ forecast adj. Forecast performance sensitivity	0.0429	3.18***
λ₃ tau persistence Long-term factor persistence	0.9494	61.26***

V-Lab

National Aerospace Fastener MF2-GARCH Volatility Analysis

Date Range:

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