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	14.4112	0.87
αARCH	0.0842	18.01***
βGARCH	0.9927	123.44***
νDF	3.1064	10.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	14.4112	0.87
α ARCH Response to squared shocks	0.0842	18.01***
β GARCH Volatility persistence	0.9927	123.44***
ν DF Student-t tail thickness	3.1064	10.94***

V-Lab

Kinik Co GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kinik Co Analyses