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	71
α ARCH Response to squared shocks	0.1227	25.44***
β GARCH Volatility persistence	0.6888	62.68***
γ leverage Additional response to negative shocks	0.0103	1.50
λ₁ tau intercept Baseline long-term coefficient	1.8667	1.01
λ₂ forecast adj. Forecast performance sensitivity	0.6995	0.94
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Para Light Electronics Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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