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
m window Rolling window length	26
α ARCH Response to squared shocks	0.2862	13.66***
β GARCH Volatility persistence	0.3027	13.24***
γ leverage Additional response to negative shocks	0.0275	1.05
λ₁ tau intercept Baseline long-term coefficient	2.9700	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.7656	0.72
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

V-Lab

Arab CO. FOR AST M MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Arab CO. FOR AST M Analyses