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	5.0426	1.31
αARCH	0.0555	8.47***
βGARCH	0.9937	199.22***
νDF	7.2737	1.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0426	1.31
α ARCH Response to squared shocks	0.0555	8.47***
β GARCH Volatility persistence	0.9937	199.22***
ν DF Student-t tail thickness	7.2737	1.53

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Taiwan Semiconductor Mfg Co GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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