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	36
α ARCH Response to squared shocks	0.1754	15.31***
β GARCH Volatility persistence	0.4964	13.48***
γ leverage Additional response to negative shocks	0.0331	2.05**
λ₁ tau intercept Baseline long-term coefficient	1.1051	0.46
λ₂ forecast adj. Forecast performance sensitivity	0.2907	0.45
λ₃ tau persistence Long-term factor persistence	0.5245	0.49

V-Lab

Caswell Inc MF2-GARCH Volatility Analysis

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