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	1.5241	4.34***
α ARCH Response to squared shocks	0.2614	5.74***
β GARCH Volatility persistence	0.6676	13.51***

γ₁	0.9572	4.96***
γ₂	-1.5986	-5.05***
γ₃	1.1275	4.45***
γ₄	-0.7108	-4.21***

V-Lab

PT M Cash Integras Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PT M Cash Integras Analyses