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	0.0016	0.51
β GARCH Volatility persistence	0.7508	105.96***
γ leverage Additional response to negative shocks	0.2039	40.54***
λ₁ tau intercept Baseline long-term coefficient	0.0104	2.49**
λ₂ forecast adj. Forecast performance sensitivity	0.0632	4.64***
λ₃ tau persistence Long-term factor persistence	0.9322	62.30***

V-Lab

Taiwan Stock Exchange Weighted Index MF2-GARCH Volatility Analysis

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