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	1.0614	19.58***
α ARCH Response to squared shocks	0.2524	12.64***
β GARCH Volatility persistence	0.7071	77.74***
γ leverage Additional response to negative shocks	-0.0736	-2.57**

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