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
ω const Unconditional variance weight	0.6976	1.35
α ARCH Response to squared shocks	0.1938	3.99***
β GARCH Volatility persistence	0.6533	8.48***

γ₁	0.6578	0.23
γ₂	0.0394	0.01
γ₃	-2.5426	-1.18
γ₄	3.6351	1.87*
γ₅	-3.2620	-2.05**
γ₆	1.8137	1.29
γ₇	1.0264	0.83
γ₈	-2.8618	-2.67***
γ₉	1.7351	1.51
γ₁₀	-0.0704	-0.08

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