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	1.2263	4.88***
α ARCH Response to squared shocks	0.1205	10.76***
β GARCH Volatility persistence	0.8005	45.88***

γ₁	0.0402	0.89
γ₂	-0.0031	-0.05
γ₃	-0.1469	-4.50***
γ₄	0.1927	5.82***
γ₅	-0.1367	-3.86***
γ₆	0.1064	2.69***
γ₇	-0.0746	-1.73*
γ₈	0.0049	0.11
γ₉	0.0394	1.20

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RHB Bank Bhd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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