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	106
α ARCH Response to squared shocks	0.1933	18.20***
β GARCH Volatility persistence	0.8111	52.93***
γ leverage Additional response to negative shocks	-0.0105	-0.42
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.71
λ₂ forecast adj. Forecast performance sensitivity	0.1449	0.69
λ₃ tau persistence Long-term factor persistence	0.8551	3.90***

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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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