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	1.4499	8.62***
α ARCH Response to squared shocks	0.1785	7.71***
β GARCH Volatility persistence	0.7562	30.90***

γ₁	0.0220	4.87***
γ₂	-0.0274	-4.78***

V-Lab

MSCI COLCAP Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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