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	21
α ARCH Response to squared shocks	0.1592	12.94***
β GARCH Volatility persistence	0.3646	8.74***
γ leverage Additional response to negative shocks	0.0032	0.18
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.55
λ₂ forecast adj. Forecast performance sensitivity	0.6212	0.49
λ₃ tau persistence Long-term factor persistence	0.0402	0.02

V-Lab

Theta Edge Berhad MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Theta Edge Berhad Analyses