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
m window Rolling window length	21
α ARCH Response to squared shocks	0.1672	15.88***
β GARCH Volatility persistence	0.3654	10.47***
γ leverage Additional response to negative shocks	-0.0007	-0.05
λ₁ tau intercept Baseline long-term coefficient	0.5108	0.84
λ₂ forecast adj. Forecast performance sensitivity	0.1201	0.92
λ₃ tau persistence Long-term factor persistence	0.7929	3.54***

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