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	0.0000
α ARCH Response to squared shocks	0.2825
β GARCH Volatility persistence	0.7175

γ₁	-5.6539
γ₂	5.2628
γ₃	-0.3308
γ₄	2.6281
γ₅	-3.2151
γ₆	1.9904
γ₇	-1.2000
γ₈	0.5475
γ₉	0.0844

V-Lab

Indonesia Prima Prop (Pt) Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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