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	3.6833	6.05***
α ARCH Response to squared shocks	0.0709	85.83***
β GARCH Volatility persistence	0.9972	2,563.62***
ν DF Student-t tail thickness	5.3375	20.64***

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Stock Exchange of Thailand SET Index GAS-GARCH Student T Volatility Analysis

Date Range:

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