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	0.8165	4.77***
α ARCH Response to squared shocks	0.2983	2.77***
β GARCH Volatility persistence	0.3791	1.57

γ₁	-3.6781	-1.08
γ₂	4.8104	0.75
γ₃	-5.2668	-0.78
γ₄	9.6868	1.56
γ₅	-7.6838	-1.82*
γ₆	2.2314	0.86

V-Lab

PT Mitra Pack TBK Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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