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	2.1112	3.81***
α ARCH Response to squared shocks	0.2288	3.48***
β GARCH Volatility persistence	0.6967	12.33***

γ₁	1.7040	7.91***
γ₂	-2.5854	-6.85***
γ₃	1.1740	3.65***
γ₄	-0.3751	-1.31
γ₅	0.1197	0.58

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