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	0.0012	0.38
β GARCH Volatility persistence	0.7498	106.21***
γ leverage Additional response to negative shocks	0.2057	41.00***
λ₁ tau intercept Baseline long-term coefficient	0.0104	2.50**
λ₂ forecast adj. Forecast performance sensitivity	0.0631	4.66***
λ₃ tau persistence Long-term factor persistence	0.9323	62.62***

V-Lab

Taiwan Stock Exchange Weighted Index MF2-GARCH Volatility Analysis

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