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	26
α ARCH Response to squared shocks	0.7187
β GARCH Volatility persistence	0.0313
γ leverage Additional response to negative shocks	0.5000
λ₁ tau intercept Baseline long-term coefficient	0.4373	10.99***
λ₂ forecast adj. Forecast performance sensitivity	0.5809	13.28***
λ₃ tau persistence Long-term factor persistence	0.0274	0.35

V-Lab

MSCI COLCAP Index MF2-GARCH Volatility Analysis

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