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	0.0819	12.29***
β GARCH Volatility persistence	0.7546	41.58***
γ leverage Additional response to negative shocks	0.0650	9.06***
λ₁ tau intercept Baseline long-term coefficient	0.5659	1.20
λ₂ forecast adj. Forecast performance sensitivity	0.7723	1.14
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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