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	126
α ARCH Response to squared shocks	0.1921	17.98***
β GARCH Volatility persistence	0.8160	170.79***
γ leverage Additional response to negative shocks	-0.0170	-0.75
λ₁ tau intercept Baseline long-term coefficient	0.9632	16.87***
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.02
λ₃ tau persistence Long-term factor persistence	0.9993	1,896.26***

V-Lab

Mark Dynamics Indo MF2-GARCH Volatility Analysis

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