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	1.8837	4.21***
α ARCH Response to squared shocks	0.2401	9.22***
β GARCH Volatility persistence	0.6923	27.65***

γ₁	0.0507	0.64
γ₂	-0.0023	-0.02
γ₃	-0.1983	-2.39**
γ₄	0.3171	3.79***
γ₅	-0.3412	-4.56***
γ₆	0.3017	4.04***
γ₇	-0.2319	-2.42**
γ₈	0.3153	2.99***
γ₉	-0.3697	-4.35***
γ₁₀	0.1866	3.41***

V-Lab

Union Bank of the Philippines Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Union Bank of the Philippines Analyses