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	540.7128	0.66
αARCH	0.1648	27.91***
βGARCH	0.9864	48.89***
νDF	2.0201	557.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	540.7128	0.66
α ARCH Response to squared shocks	0.1648	27.91***
β GARCH Volatility persistence	0.9864	48.89***
ν DF Student-t tail thickness	2.0201	557.72***

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CH Biotech R&D Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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