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	11.8138	86.81***
α ARCH Response to squared shocks	0.0905	435.05***
β GARCH Volatility persistence	0.9770	5,142.02***
ν DF Student-t tail thickness	2.0000

V-Lab

Guan Chong Bhd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Guan Chong Bhd Analyses