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	2.5266	7.99***
α ARCH Response to squared shocks	0.1387	44.64***
β GARCH Volatility persistence	0.9815	429.91***
ν DF Student-t tail thickness	5.8815	13.66***

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