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	21
α ARCH Response to squared shocks	0.2750	11.89***
β GARCH Volatility persistence	0.5890	25.89***
γ leverage Additional response to negative shocks	0.0940	3.29***
λ₁ tau intercept Baseline long-term coefficient	0.1222	2.85***
λ₂ forecast adj. Forecast performance sensitivity	0.0489	4.74***
λ₃ tau persistence Long-term factor persistence	0.9508	84.65***

V-Lab

PT M Cash Integras MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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