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
ω const Unconditional variance weight	0.1648	7.50***
α ARCH Response to squared shocks	0.0870	10.49***
β GARCH Volatility persistence	0.9020	114.43***
γ leverage Additional response to negative shocks	0.0545	2.12**
δ power Transformation power	1.9689	19.17***

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