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	83.5612	3.48***
α ARCH Response to squared shocks	0.2764	8.41***
β GARCH Volatility persistence	0.7279	9.52***
ν DF Student-t tail thickness	2.2192	32.01***

V-Lab

PT Mitra Pack TBK GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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