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
m window Rolling window length	36
α ARCH Response to squared shocks	0.0729	19.58***
β GARCH Volatility persistence	0.7493	115.00***
γ leverage Additional response to negative shocks	0.1637	24.53***
λ₁ tau intercept Baseline long-term coefficient	0.0063	6.78***
λ₂ forecast adj. Forecast performance sensitivity	0.0234	7.95***
λ₃ tau persistence Long-term factor persistence	0.9739	288.22***

V-Lab

Jakarta Stock Exchange LQ45 Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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