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	0.0460	20.17***
α ARCH Response to squared shocks	0.0745	18.96***
β GARCH Volatility persistence	0.8729	335.75***
γ leverage Additional response to negative shocks	0.0842	11.35***

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Jakarta Stock Exchange LQ45 Index GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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