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	0.1825	6.77***
α ARCH Response to squared shocks	0.1087	4.22***
β GARCH Volatility persistence	0.6675	8.46***

γ₁	-0.7936	-6.57***
γ₂	1.0026	4.89***
γ₃	-0.5685	-2.58***
γ₄	0.7022	2.21**
γ₅	-0.4965	-1.59
γ₆	0.2387	1.12
γ₇	-0.1880	-0.98
γ₈	0.1218	0.90
γ₉	0.1334	1.47
γ₁₀	-0.2623	-3.68***

V-Lab

Guan Chong Bhd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Guan Chong Bhd Analyses