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	0.0722	31.16***
α ARCH Response to squared shocks	0.1920	41.28***
β GARCH Volatility persistence	0.7481	180.44***
γ leverage Additional response to negative shocks	0.1896	14.29***

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MSCI COLCAP Index AGARCH Volatility Analysis

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