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	106
α ARCH Response to squared shocks	0.0269	7.36***
β GARCH Volatility persistence	0.8605	157.65***
γ leverage Additional response to negative shocks	0.0937	18.59***
λ₁ tau intercept Baseline long-term coefficient	0.7022	0.19
λ₂ forecast adj. Forecast performance sensitivity	0.7500	0.20
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Sonda S.A. MF2-GARCH Volatility Analysis

Date Range:

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Volatility Forecast

Parameter Estimates

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