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	51
α ARCH Response to squared shocks	0.0820	12.29***
β GARCH Volatility persistence	0.7535	41.48***
γ leverage Additional response to negative shocks	0.0644	8.99***
λ₁ tau intercept Baseline long-term coefficient	0.5620	1.21
λ₂ forecast adj. Forecast performance sensitivity	0.7759	1.15
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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