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	3.4376	5.86***
α ARCH Response to squared shocks	0.0992	41.28***
β GARCH Volatility persistence	0.9892	594.13***
ν DF Student-t tail thickness	6.0955	9.29***

V-Lab

Jakarta Stock Exchange LQ45 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Jakarta Stock Exchange LQ45 Index Analyses