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	0.1373	13.84***
α ARCH Response to squared shocks	0.0699	19.23***
β GARCH Volatility persistence	0.9240	362.08***
γ leverage Additional response to negative shocks	-0.0155	-2.49**

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Fic Global Inc Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fic Global Inc Analyses