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	2.3181	4.10***
α ARCH Response to squared shocks	0.2646	4.29***
β GARCH Volatility persistence	0.4244	4.95***

γ₁	2.6950	3.41***
γ₂	-4.5935	-3.88***
γ₃	3.3411	4.30***
γ₄	-1.4823	-2.33**
γ₅	-0.4828	-0.69
γ₆	0.3766	0.45
γ₇	0.6125	0.59
γ₈	-1.0979	-0.82
γ₉	1.4265	1.32
γ₁₀	-1.1390	-2.36**

V-Lab

CH Biotech R&D Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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