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	1.4378	3.32***
α ARCH Response to squared shocks	0.2215	4.14***
β GARCH Volatility persistence	0.7387	16.13***

γ₁	-0.1557	-0.18
γ₂	2.0716	1.54
γ₃	-3.5884	-2.68***
γ₄	1.6712	1.02
γ₅	0.5323	0.38
γ₆	-0.6314	-0.65
γ₇	-0.4013	-0.47
γ₈	0.9203	1.38

V-Lab

Trust Finance Indonesia Tbk PT Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trust Finance Indonesia Tbk PT Analyses