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	0.0672	10.13***
α ARCH Response to squared shocks	0.2295	12.34***
β GARCH Volatility persistence	0.9141	75.27***
γ leverage Additional response to negative shocks	-0.0386	-5.91***

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