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	46
α ARCH Response to squared shocks	0.0533	12.72***
β GARCH Volatility persistence	0.8652	121.43***
γ leverage Additional response to negative shocks	0.0933	11.95***
λ₁ tau intercept Baseline long-term coefficient	0.0001	0.81
λ₂ forecast adj. Forecast performance sensitivity	0.0048	4.90***
λ₃ tau persistence Long-term factor persistence	0.9951	885.30***

V-Lab

Stock Exchange of Thailand SET 50 Index MF2-GARCH Volatility Analysis

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