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	0.2585	15.79***
α ARCH Response to squared shocks	0.1166	15.44***
β GARCH Volatility persistence	0.8584	184.53***
γ leverage Additional response to negative shocks	-0.0150	-1.19

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