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	479.6388	5.14***
α ARCH Response to squared shocks	0.0989	46.84***
β GARCH Volatility persistence	0.9615	129.54***
ν DF Student-t tail thickness	2.0344	677.01***

V-Lab

Theta Edge Berhad GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Theta Edge Berhad Analyses