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	2.2496	3.96***
α ARCH Response to squared shocks	0.2593	4.23***
β GARCH Volatility persistence	0.4456	5.17***

γ₁	2.5944	3.29***
γ₂	-4.4786	-3.80***
γ₃	3.3810	4.36***
γ₄	-1.6418	-2.61***
γ₅	-0.2899	-0.43
γ₆	0.2260	0.27
γ₇	0.7275	0.71
γ₈	-1.1640	-0.86
γ₉	1.4202	1.24
γ₁₀	-1.1105	-2.06**

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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