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	3.4015	3.05***
α ARCH Response to squared shocks	0.1543	9.09***
β GARCH Volatility persistence	0.8229	52.15***

γ₁	0.2684	4.00***
γ₂	-0.5376	-5.14***
γ₃	0.5774	6.97***
γ₄	-0.5489	-5.55***
γ₅	0.3761	3.48***
γ₆	-0.1646	-1.58
γ₇	-0.0313	-0.26
γ₈	0.1133	1.04

V-Lab

Panbrothers Tbk Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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