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	3.4282	5.58***
α ARCH Response to squared shocks	0.0698	79.67***
β GARCH Volatility persistence	0.9971	2,196.35***
ν DF Student-t tail thickness	5.4490	19.36***

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Stock Exchange of Thailand SET 50 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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