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	0.1826	6.75***
α ARCH Response to squared shocks	0.1077	4.21***
β GARCH Volatility persistence	0.6721	8.60***

γ₁	-0.7939	-6.57***
γ₂	1.0025	4.88***
γ₃	-0.5676	-2.57**
γ₄	0.7014	2.21**
γ₅	-0.4961	-1.59
γ₆	0.2385	1.12
γ₇	-0.1882	-0.98
γ₈	0.1229	0.91
γ₉	0.1313	1.44
γ₁₀	-0.2610	-3.61***

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