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	71
α ARCH Response to squared shocks	0.1678	15.10***
β GARCH Volatility persistence	0.8318	101.53***
γ leverage Additional response to negative shocks	0.0004	0.02
λ₁ tau intercept Baseline long-term coefficient	10.0000	12.09***
λ₂ forecast adj. Forecast performance sensitivity	0.0178	12.37***
λ₃ tau persistence Long-term factor persistence	0.9822	400.92***

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Trust Finance Indonesia Tbk PT MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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