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	0.5107	5.63***
α ARCH Response to squared shocks	0.1704	6.78***
β GARCH Volatility persistence	0.7193	19.69***

γ₁	0.3396	3.29***
γ₂	-0.7178	-4.20***
γ₃	0.5467	3.83***
γ₄	-0.1733	-1.30
γ₅	-0.0184	-0.13
γ₆	0.0564	0.41
γ₇	-0.1408	-1.11
γ₈	0.3071	2.65***
γ₉	-0.4254	-3.70***
γ₁₀	0.3344	3.96***

V-Lab

Varopakorn Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Varopakorn Co Analyses