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	1.4979	4.32***
α ARCH Response to squared shocks	0.2618	5.82***
β GARCH Volatility persistence	0.6677	13.55***

γ₁	0.9511	4.94***
γ₂	-1.5876	-5.02***
γ₃	1.1197	4.40***
γ₄	-0.7068	-4.16***

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