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	438.4445	8.69***
α ARCH Response to squared shocks	0.0929	221.25***
β GARCH Volatility persistence	0.9990	8,466.10***
ν DF Student-t tail thickness	2.0003

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Fic Global Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Fic Global Inc Analyses