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	235.6233	3.44***
α ARCH Response to squared shocks	0.1889	79.70***
β GARCH Volatility persistence	0.9750	141.37***
ν DF Student-t tail thickness	2.0773	456.85***

V-Lab

PT M Cash Integras GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PT M Cash Integras Analyses