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	0.0515	11.99***
β GARCH Volatility persistence	0.7815	60.02***
γ leverage Additional response to negative shocks	0.1365	14.81***
λ₁ tau intercept Baseline long-term coefficient	0.0029	6.21***
λ₂ forecast adj. Forecast performance sensitivity	0.0219	3.29***
λ₃ tau persistence Long-term factor persistence	0.9768	140.25***

V-Lab

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