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	0.3082	22.57***
β GARCH Volatility persistence	0.1898	6.87***
γ leverage Additional response to negative shocks	-0.1290	-5.98***
λ₁ tau intercept Baseline long-term coefficient	0.5320	0.59
λ₂ forecast adj. Forecast performance sensitivity	0.2372	0.95
λ₃ tau persistence Long-term factor persistence	0.7251	2.34**

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Fic Global Inc MF2-GARCH Volatility Analysis

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