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	2.0334	4.20***
α ARCH Response to squared shocks	0.2741	4.15***
β GARCH Volatility persistence	0.4664	5.45***

γ₁	4.5615	3.62***
γ₂	-5.5033	-3.12***
γ₃	0.4582	0.39
γ₄	1.5973	1.22
γ₅	-2.8282	-1.86*
γ₆	3.5654	2.66***
γ₇	-4.2299	-3.75***
γ₈	5.0513	3.94***
γ₉	-3.8126	-4.07***

V-Lab

Arab CO. FOR AST M Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Arab CO. FOR AST M Analyses