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	0.2441	1.31
α ARCH Response to squared shocks	0.1209	5.18***
β GARCH Volatility persistence	0.8390	29.84***

γ₁	0.2335	0.57
γ₂	-0.6496	-1.23
γ₃	0.6585	4.05***
γ₄	-0.1046	-0.74
γ₅	-0.5212	-4.49***
γ₆	0.7297	6.89***
γ₇	-0.7474	-5.99***
γ₈	0.7223	7.92***
γ₉	-0.4238	-5.44***
γ₁₀	0.1330	1.70*

V-Lab

Rabbit Holdings PCL Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Rabbit Holdings PCL Analyses