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
m window Rolling window length	126
α ARCH Response to squared shocks	0.2325	6.90***
β GARCH Volatility persistence	0.3638	6.76***
γ leverage Additional response to negative shocks	0.1051	2.33**
λ₁ tau intercept Baseline long-term coefficient	4.8446	0.88
λ₂ forecast adj. Forecast performance sensitivity	0.5873	2.55**
λ₃ tau persistence Long-term factor persistence	0.1652	0.53

V-Lab

PT Mitra Pack TBK MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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