CBOE Emerging Market Markets Volatility Index

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's illiquidity

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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0120	5.87***
α ARCH Response to squared shocks	0.0564	11.22***
β GARCH Volatility persistence	0.9466	310.15***
γ leverage Additional response to negative shocks	-0.0070	-0.98

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