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	0.8114	7.47***
α ARCH Response to squared shocks	0.1192	7.42***
β GARCH Volatility persistence	0.8234	35.74***

γ₁	0.0193	4.52***
γ₂	-0.0396	-5.71***
γ₃	0.0340	4.14***

V-Lab

I-Hwa Industrial Co Ltd Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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