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	81
α ARCH Response to squared shocks	0.0570	17.49***
β GARCH Volatility persistence	0.7868	88.56***
γ leverage Additional response to negative shocks	0.1194	13.03***
λ₁ tau intercept Baseline long-term coefficient	1.3687	2.89***
λ₂ forecast adj. Forecast performance sensitivity	0.8439	4.67***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

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