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	1.3120	3.14***
αARCH	0.1363	3.57***
βGARCH	0.6917	9.98***

γ₁	0.6031	2.17**
γ₂	-0.6901	-1.73*
γ₃	0.0876	0.34
γ₄	-0.4420	-1.97**
γ₅	1.4525	5.57***
γ₆	-1.8568	-6.92***
γ₇	1.0269	4.00***
γ₈	-0.0390	-0.18
γ₉	-0.2290	-1.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3120	3.14***
α ARCH Response to squared shocks	0.1363	3.57***
β GARCH Volatility persistence	0.6917	9.98***

γ₁	0.6031	2.17**
γ₂	-0.6901	-1.73*
γ₃	0.0876	0.34
γ₄	-0.4420	-1.97**
γ₅	1.4525	5.57***
γ₆	-1.8568	-6.92***
γ₇	1.0269	4.00***
γ₈	-0.0390	-0.18
γ₉	-0.2290	-1.47

V-Lab

Dyaco International Inc Zero Slope Spline-GARCH Volatility Analysis

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