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
mwindow	96
αARCH	0.0416	4.74***
βGARCH	0.8721	59.64***
γleverage	0.0544	3.69***
λ₁tau intercept	0.4331	3.11***
λ₂forecast adj.	0.7701	7.36***
λ₃tau persistence	0.1297	1.22

Parameter	Value	t-statistic
m window Rolling window length	96
α ARCH Response to squared shocks	0.0416	4.74***
β GARCH Volatility persistence	0.8721	59.64***
γ leverage Additional response to negative shocks	0.0544	3.69***
λ₁ tau intercept Baseline long-term coefficient	0.4331	3.11***
λ₂ forecast adj. Forecast performance sensitivity	0.7701	7.36***
λ₃ tau persistence Long-term factor persistence	0.1297	1.22

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Taiwan Semiconductor Mfg Co MF2-GARCH Volatility Analysis

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