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	6.3086	2.40**
α ARCH Response to squared shocks	0.0524	3.58***
β GARCH Volatility persistence	0.9200	24.96***
ν DF Student-t tail thickness	3.2459	1.77*

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The One Enterprise Public Co GAS-GARCH Student T Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

Other The One Enterprise Public Co Analyses