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	2.9448	5.53***
α ARCH Response to squared shocks	0.0839	19.27***
β GARCH Volatility persistence	0.9690	160.85***
ν DF Student-t tail thickness	4.1857	7.84***

V-Lab

Sonda S.A. GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sonda S.A. Analyses