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	0.1752	8.15***
α ARCH Response to squared shocks	0.0878	12.19***
β GARCH Volatility persistence	0.8996	102.09***

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Fic Global Inc GARCH Volatility Analysis

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