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	0.3069	21.76***
β GARCH Volatility persistence	0.1864	6.66***
γ leverage Additional response to negative shocks	-0.1307	-5.99***
λ₁ tau intercept Baseline long-term coefficient	0.5371	0.58
λ₂ forecast adj. Forecast performance sensitivity	0.2402	0.93
λ₃ tau persistence Long-term factor persistence	0.7214	2.25**

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Fic Global Inc MF2-GARCH Volatility Analysis

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