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
m window Rolling window length	56
α ARCH Response to squared shocks	0.2621	21.17***
β GARCH Volatility persistence	0.7357	46.64***
γ leverage Additional response to negative shocks	-0.2164	-12.11***
λ₁ tau intercept Baseline long-term coefficient	0.2850	0.74
λ₂ forecast adj. Forecast performance sensitivity	0.3228	0.65
λ₃ tau persistence Long-term factor persistence	0.6772	1.31

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Dana Brata Luhur Tbk PT MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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