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	26
α ARCH Response to squared shocks	0.1895	18.05***
β GARCH Volatility persistence	0.5800	19.71***
γ leverage Additional response to negative shocks	-0.0440	-2.77***
λ₁ tau intercept Baseline long-term coefficient	0.2872	1.32
λ₂ forecast adj. Forecast performance sensitivity	0.0844	1.24
λ₃ tau persistence Long-term factor persistence	0.8775	9.13***

V-Lab

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