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	0.5089	5.73***
α ARCH Response to squared shocks	0.2018	6.58***
β GARCH Volatility persistence	0.6654	16.55***

γ₁	0.3436	3.39***
γ₂	-0.7303	-4.36***
γ₃	0.5604	4.07***
γ₄	-0.1786	-1.41
γ₅	-0.0166	-0.12
γ₆	0.0482	0.36
γ₇	-0.1281	-1.03
γ₈	0.3000	2.62***
γ₉	-0.4289	-3.92***
γ₁₀	0.3424	4.32***

V-Lab

Varopakorn Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Varopakorn Co Analyses