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	46
α ARCH Response to squared shocks	0.3222	17.66***
β GARCH Volatility persistence	0.5159	21.43***
γ leverage Additional response to negative shocks	-0.2679	-14.61***
λ₁ tau intercept Baseline long-term coefficient	2.0015	0.78
λ₂ forecast adj. Forecast performance sensitivity	0.6303	0.78
λ₃ tau persistence Long-term factor persistence	0.0725	0.06

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CH Biotech R&D Co Ltd MF2-GARCH Volatility Analysis

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