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	39.5019	7.08***
α ARCH Response to squared shocks	0.0980	111.76***
β GARCH Volatility persistence	0.9971	2,530.71***
ν DF Student-t tail thickness	3.0224	165.79***

V-Lab

National Aerospace Fastener GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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