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	21
α ARCH Response to squared shocks	0.0705	21.93***
β GARCH Volatility persistence	0.7154	87.29***
γ leverage Additional response to negative shocks	0.1397	25.22***
λ₁ tau intercept Baseline long-term coefficient	0.0025	4.58***
λ₂ forecast adj. Forecast performance sensitivity	0.0445	8.93***
λ₃ tau persistence Long-term factor persistence	0.9531	178.24***

V-Lab

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