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	0.3076	22.20***
β GARCH Volatility persistence	0.1879	6.74***
γ leverage Additional response to negative shocks	-0.1293	-5.96***
λ₁ tau intercept Baseline long-term coefficient	0.5357	0.58
λ₂ forecast adj. Forecast performance sensitivity	0.2405	0.93
λ₃ tau persistence Long-term factor persistence	0.7222	2.27**

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Fic Global Inc MF2-GARCH Volatility Analysis

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