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	2.2124	3.74***
α ARCH Response to squared shocks	0.2421	5.86***
β GARCH Volatility persistence	0.4999	8.70***

γ₁	0.3721	1.88*
γ₂	-0.5356	-1.72*
γ₃	0.3908	1.97**
γ₄	-0.4889	-3.56***
γ₅	0.3264	2.84***
γ₆	0.0542	0.55
γ₇	-0.2008	-2.38**
γ₈	0.1249	1.24
γ₉	-0.1439	-1.11
γ₁₀	0.1739	1.67*

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Kafr El-Zayat Pesticides & Chemicals Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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