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	21
α ARCH Response to squared shocks	0.1152	29.31***
β GARCH Volatility persistence	0.6905	60.72***
γ leverage Additional response to negative shocks	0.0500	6.94***
λ₁ tau intercept Baseline long-term coefficient	0.0037	2.07**
λ₂ forecast adj. Forecast performance sensitivity	0.0182	5.95***
λ₃ tau persistence Long-term factor persistence	0.9807	284.01***

V-Lab

RHB Bank Bhd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other RHB Bank Bhd Analyses