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	21
α ARCH Response to squared shocks	0.2128	21.58***
β GARCH Volatility persistence	0.4854	10.71***
γ leverage Additional response to negative shocks	-0.0644	-4.31***
λ₁ tau intercept Baseline long-term coefficient	3.6594	0.58
λ₂ forecast adj. Forecast performance sensitivity	0.3170	0.52
λ₃ tau persistence Long-term factor persistence	0.4886	0.51

V-Lab

Varopakorn Co MF2-GARCH Volatility Analysis

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