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	1.4338	3.31***
α ARCH Response to squared shocks	0.2204	4.15***
β GARCH Volatility persistence	0.7410	16.23***

γ₁	-0.2082	-0.24
γ₂	2.1597	1.56
γ₃	-3.6253	-2.62***
γ₄	1.6506	0.99
γ₅	0.5656	0.40
γ₆	-0.6429	-0.66
γ₇	-0.3894	-0.45
γ₈	0.8928	1.34

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