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	0.7720	8.61***
α ARCH Response to squared shocks	0.1383	10.39***
β GARCH Volatility persistence	0.8126	100.19***
γ leverage Additional response to negative shocks	0.0952	3.19***

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Trust Finance Indonesia Tbk PT GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trust Finance Indonesia Tbk PT Analyses