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	1.0942	7.96***
α ARCH Response to squared shocks	0.0947	6.17***
β GARCH Volatility persistence	0.8314	31.06***

γ₁	0.0174	0.34
γ₂	0.0374	0.41
γ₃	-0.1265	-1.42
γ₄	0.1689	2.03**
γ₅	-0.2146	-3.43***
γ₆	0.1715	4.28***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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