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	1.1877	5.42***
α ARCH Response to squared shocks	0.1070	6.04***
β GARCH Volatility persistence	0.7973	22.97***

γ₁	-0.2595	-1.43
γ₂	0.3796	1.31
γ₃	0.0739	0.34
γ₄	-0.3871	-1.60
γ₅	0.4313	1.74*
γ₆	-0.6114	-3.07***
γ₇	0.5925	3.17***
γ₈	-0.3034	-1.80*
γ₉	0.1299	1.27

V-Lab

Dayang Enterprise Holdings Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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