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	0.0907	12.43***
α ARCH Response to squared shocks	0.1182	22.21***
β GARCH Volatility persistence	0.8465	127.69***
γ leverage Additional response to negative shocks	0.2766	10.37***

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