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	0.0540	6.21***
α ARCH Response to squared shocks	0.1151	10.20***
β GARCH Volatility persistence	0.9089	103.08***
γ leverage Additional response to negative shocks	-0.0479	-4.44***

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Dana Brata Luhur Tbk PT GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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