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	1.1339	3.21***
α ARCH Response to squared shocks	0.1437	8.31***
β GARCH Volatility persistence	0.7428	24.38***

γ₁	0.0233	0.39
γ₂	-0.0369	-0.48
γ₃	-0.0125	-0.26
γ₄	0.0776	1.83*
γ₅	-0.1730	-3.79***
γ₆	0.2218	4.55***
γ₇	-0.1467	-2.61***
γ₈	0.1550	2.02**
γ₉	-0.2306	-2.55**
γ₁₀	0.1716	2.20**

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Kerry Tj Logistics Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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