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	0.7032	1.35
α ARCH Response to squared shocks	0.1923	3.93***
β GARCH Volatility persistence	0.6578	8.43***

γ₁	0.7026	0.24
γ₂	0.0163	0.00
γ₃	-2.5913	-1.16
γ₄	3.6313	1.82*
γ₅	-3.0870	-1.92*
γ₆	1.3773	0.99
γ₇	1.6317	1.36
γ₈	-3.3459	-3.11***
γ₉	1.9886	1.71*
γ₁₀	-0.1982	-0.24

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