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	36.8760	8.81***
α ARCH Response to squared shocks	0.0707	151.76***
β GARCH Volatility persistence	0.9990	9,081.82***
ν DF Student-t tail thickness	2.1440	2,893.38***

V-Lab

Union Bank of the Philippines GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Union Bank of the Philippines Analyses