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	0.0271	16.86***
α ARCH Response to squared shocks	0.0735	13.59***
β GARCH Volatility persistence	0.8823	366.73***
γ leverage Additional response to negative shocks	0.0754	4.74***

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