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	0.0216	27.24***
α ARCH Response to squared shocks	0.0790	27.13***
β GARCH Volatility persistence	0.8797	446.32***
γ leverage Additional response to negative shocks	0.0624	10.72***

V-Lab

MSCI Chile GJR-GARCH Volatility Analysis

Date Range:

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