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	43.2047	2.64***
α ARCH Response to squared shocks	0.1978	45.32***
β GARCH Volatility persistence	0.9749	104.19***
ν DF Student-t tail thickness	2.6826	43.36***

V-Lab

Polaris Group GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Polaris Group Analyses