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	0.0584	33.77***
α ARCH Response to squared shocks	0.1700	39.42***
β GARCH Volatility persistence	0.7907	241.43***
γ leverage Additional response to negative shocks	0.0488	6.12***

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MSCI NUAM Peru General Index Gross GJR-GARCH Volatility Analysis

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