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	0.0242	4.96***
α ARCH Response to squared shocks	0.1330	29.47***
β GARCH Volatility persistence	0.8541	268.60***

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FTSE TWSE Taiwan 50 Index MEM Volatility Analysis

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