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	111
α ARCH Response to squared shocks	0.1134	25.05***
β GARCH Volatility persistence	0.7082	78.07***
γ leverage Additional response to negative shocks	0.0351	5.26***
λ₁ tau intercept Baseline long-term coefficient	0.6453	4.99***
λ₂ forecast adj. Forecast performance sensitivity	0.9085	12.63***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Kinik Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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