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	9.7513	3.29***
α ARCH Response to squared shocks	0.1292	22.78***
β GARCH Volatility persistence	0.9582	71.65***
ν DF Student-t tail thickness	2.7500	21.68***

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Caswell Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Caswell Inc Analyses