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	26
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8028	100.34***
γ leverage Additional response to negative shocks	0.1532	28.87***
λ₁ tau intercept Baseline long-term coefficient	0.0087	1.75*
λ₂ forecast adj. Forecast performance sensitivity	0.0410	2.87***
λ₃ tau persistence Long-term factor persistence	0.9538	56.81***

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