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	1.0116	4.18***
α ARCH Response to squared shocks	0.3078	2.60***
β GARCH Volatility persistence	0.3632	1.36

γ₁	-0.1886	-0.09
γ₂	-1.7223	-0.47
γ₃	4.6788	1.86*
γ₄	-4.8192	-2.65***

V-Lab

PT Mitra Pack TBK Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other PT Mitra Pack TBK Analyses