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	0.6569	1.01
α ARCH Response to squared shocks	0.2092	4.43***
β GARCH Volatility persistence	0.6310	9.29***

γ₁	18.7494	2.14**
γ₂	-32.2612	-2.95***
γ₃	17.3189	3.37***
γ₄	-4.1017	-0.76
γ₅	0.3365	0.08
γ₆	0.4864	0.12
γ₇	-1.6191	-0.28
γ₈	8.2295	1.58
γ₉	-15.7787	-5.51***
γ₁₀	11.2150	5.89***

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Dana Brata Luhur Tbk PT Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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