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	1.2460	4.18***
α ARCH Response to squared shocks	0.1835	5.25***
β GARCH Volatility persistence	0.6254	10.07***

γ₁	3.1824	4.26***
γ₂	-5.5845	-4.13***
γ₃	4.2961	2.73***
γ₄	-2.8415	-2.20**
γ₅	0.7475	0.82
γ₆	0.5877	0.85
γ₇	-0.9404	-1.21
γ₈	1.3426	1.37
γ₉	-1.0211	-1.19
γ₁₀	0.1534	0.30

V-Lab

Polaris Group Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Polaris Group Analyses