CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

Spline Coefficients

Value at Risk (VaR) estimates the maximum loss at a given confidence level. Expected Shortfall (ES) estimates the average loss beyond VaR.

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Param	Value	t-stat
ωconst	1.0292	5.41***
αARCH	0.0687	9.46***
βGARCH	0.9083	91.53***

γ₁	-0.0073	-0.86
γ₂	0.0009	0.07
γ₃	0.0180	2.57**
γ₄	-0.0155	-2.91***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0292	5.41***
α ARCH Response to squared shocks	0.0687	9.46***
β GARCH Volatility persistence	0.9083	91.53***

γ₁	-0.0073	-0.86
γ₂	0.0009	0.07
γ₃	0.0180	2.57**
γ₄	-0.0155	-2.91***

V-Lab

Upc Technology Corp Zero Slope Spline-GARCH Volatility Analysis

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