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	1.1076	5.16***
α ARCH Response to squared shocks	0.1238	12.22***
β GARCH Volatility persistence	0.8446	77.83***

γ₁	0.0009	0.08
γ₂	0.0056	0.37
γ₃	-0.0166	-1.61
γ₄	0.0316	3.62***
γ₅	-0.0365	-6.04***

V-Lab

MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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Parameter Estimates

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