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	5.0000	5.81***
α ARCH Response to squared shocks	0.1422	3.77***
β GARCH Volatility persistence	0.6755	26.53***
γ leverage Additional response to negative shocks	0.0052	0.09

V-Lab

PT Mitra Pack TBK GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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