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	0.2139	16.63***
α ARCH Response to squared shocks	0.3990	29.59***
β GARCH Volatility persistence	0.9316	221.66***
γ leverage Additional response to negative shocks	-0.0510	-4.48***

V-Lab

PT M Cash Integras EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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