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	1.1022	6.66***
αARCH	0.1275	7.47***
βGARCH	0.7661	25.69***

γ₁	-0.0241	-0.98
γ₂	0.0200	0.53
γ₃	0.0083	0.29
γ₄	0.0410	1.73*
γ₅	-0.0808	-5.21***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1022	6.66***
α ARCH Response to squared shocks	0.1275	7.47***
β GARCH Volatility persistence	0.7661	25.69***

γ₁	-0.0241	-0.98
γ₂	0.0200	0.53
γ₃	0.0083	0.29
γ₄	0.0410	1.73*
γ₅	-0.0808	-5.21***

V-Lab

Kinik Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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