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	21
α ARCH Response to squared shocks	0.1726	46.90***
β GARCH Volatility persistence	0.6532	85.90***
γ leverage Additional response to negative shocks	0.0986	19.01***
λ₁ tau intercept Baseline long-term coefficient	0.0106	9.36***
λ₂ forecast adj. Forecast performance sensitivity	0.0340	12.62***
λ₃ tau persistence Long-term factor persistence	0.9600	296.95***

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MSCI NUAM Peru General Index Gross MF2-GARCH Volatility Analysis

Date Range:

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