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	1.6519	5.31***
α ARCH Response to squared shocks	0.0492	29.00***
β GARCH Volatility persistence	0.9920	704.56***
ν DF Student-t tail thickness	6.0943	5.75***

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FTSE TWSE Taiwan 50 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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