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
ωlong-run	12.3683	1.07
αscore	0.1851	8.73***
βpersistence	0.9602	25.31***
νDF	3.1321	5.40***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	12.3683	1.07
α score Weight on the scaled score	0.1851	8.73***
β persistence Volatility persistence	0.9602	25.31***
ν DF Student-t tail thickness	3.1321	5.40***

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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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