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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3587	10.16***
α ARCH Response to squared shocks	0.0659	9.11***
β GARCH Volatility persistence	0.9067	90.37***

γ₁	-0.0022	-1.32
γ₂	0.0105	3.23***

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Taiwan Semiconductor Mfg Co Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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