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	60.1060	8.64***
α ARCH Response to squared shocks	0.0998	71.47***
β GARCH Volatility persistence	0.9983	5,172.55***
ν DF Student-t tail thickness	2.8281	146.94***

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Mark Dynamics Indo GAS-GARCH Student T Volatility Analysis

Date Range:

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