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	0.0103	9.73***
α ARCH Response to squared shocks	0.1386	22.49***
β GARCH Volatility persistence	0.8614	174.83***
γ leverage Additional response to negative shocks	0.1161	9.13***
δ power Transformation power	1.9648	21.61***

V-Lab

PT M Cash Integras Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PT M Cash Integras Analyses