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	1.0955	8.03***
α ARCH Response to squared shocks	0.0960	6.20***
β GARCH Volatility persistence	0.8281	30.47***

γ₁	0.0182	0.36
γ₂	0.0352	0.40
γ₃	-0.1238	-1.42
γ₄	0.1666	2.04**
γ₅	-0.2148	-3.47***
γ₆	0.1736	4.36***

V-Lab

Sonda S.A. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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