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	57.5278	3.98***
α ARCH Response to squared shocks	0.1411	98.58***
β GARCH Volatility persistence	0.9868	305.05***
ν DF Student-t tail thickness	2.1679	375.26***

V-Lab

Arlitech Electronic Corp GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Arlitech Electronic Corp Analyses