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	0.0148	14.23***
α ARCH Response to squared shocks	0.0374	13.52***
β GARCH Volatility persistence	0.9500	482.99***
γ leverage Additional response to negative shocks	0.0209	5.18***

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RHB Bank Bhd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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