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	1.9765	8.58***
α ARCH Response to squared shocks	0.1352	7.24***
β GARCH Volatility persistence	0.7539	23.14***

γ₁	0.1012	2.00**
γ₂	-0.1107	-1.47
γ₃	-0.0531	-1.03
γ₄	0.1719	2.93***
γ₅	-0.2658	-3.47***
γ₆	0.3822	4.02***
γ₇	-0.3465	-3.91***
γ₈	0.1251	2.19**

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G-Shank Enterprise Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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