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	0.0407	22.19***
α ARCH Response to squared shocks	0.1196	38.89***
β GARCH Volatility persistence	0.8804	332.73***
γ leverage Additional response to negative shocks	0.2242	14.69***
δ power Transformation power	1.5316	36.44***

V-Lab

Jakarta Stock Exchange LQ45 Index APARCH Volatility Analysis

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