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	36
α ARCH Response to squared shocks	0.0834	34.91***
β GARCH Volatility persistence	0.7993	163.80***
γ leverage Additional response to negative shocks	0.0963	23.20***
λ₁ tau intercept Baseline long-term coefficient	0.0039	8.41***
λ₂ forecast adj. Forecast performance sensitivity	0.0305	10.42***
λ₃ tau persistence Long-term factor persistence	0.9670	294.01***

V-Lab

MSCI Chile MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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