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	1.3949	3.29***
α ARCH Response to squared shocks	0.2682	6.19***
β GARCH Volatility persistence	0.6464	13.31***

γ₁	0.8726	1.23
γ₂	-0.0065	-0.01
γ₃	-2.0876	-3.33***
γ₄	1.2663	1.99**
γ₅	1.2534	1.88*
γ₆	-2.9644	-3.57***
γ₇	4.1384	2.32**

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PT M Cash Integras Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PT M Cash Integras Analyses