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	0.0346	4.42***
αARCH	0.1503	15.79***
βGARCH	0.8455	85.22***
γleverage	0.0489	1.90*
δpower	1.0411	4.21***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0346	4.42***
α ARCH Response to squared shocks	0.1503	15.79***
β GARCH Volatility persistence	0.8455	85.22***
γ leverage Additional response to negative shocks	0.0489	1.90*
δ power Transformation power	1.0411	4.21***

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