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	1.1819	8.05***
αARCH	0.0659	9.01***
βGARCH	0.9058	88.30***

γ₁	-0.0132	-3.30***
γ₂	0.0239	4.05***
γ₃	-0.0136	-4.29***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1819	8.05***
α ARCH Response to squared shocks	0.0659	9.01***
β GARCH Volatility persistence	0.9058	88.30***

γ₁	-0.0132	-3.30***
γ₂	0.0239	4.05***
γ₃	-0.0136	-4.29***

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