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	0.0516	12.05***
β GARCH Volatility persistence	0.7813	59.96***
γ leverage Additional response to negative shocks	0.1364	14.83***
λ₁ tau intercept Baseline long-term coefficient	0.0029	6.22***
λ₂ forecast adj. Forecast performance sensitivity	0.0220	3.29***
λ₃ tau persistence Long-term factor persistence	0.9767	139.59***

V-Lab

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