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	0.0169	8.56***
α ARCH Response to squared shocks	0.0809	34.13***
β GARCH Volatility persistence	0.8966	354.67***
γ leverage Additional response to negative shocks	0.5468	22.46***

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