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	0.0911	11.09***
α ARCH Response to squared shocks	0.2799	15.18***
β GARCH Volatility persistence	0.9837	509.43***
γ leverage Additional response to negative shocks	0.0285	2.37**

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Dana Brata Luhur Tbk PT EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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