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	46
αARCH	0.3194	4.04***
βGARCH	0.5206	6.45***
γleverage	-0.2672	-3.38***
λ₁tau intercept	1.9559	1.73*
λ₂forecast adj.	0.6499	2.36**
λ₃tau persistence	0.0589	0.15

Parameter	Value	t-statistic
m window Rolling window length	46
α ARCH Response to squared shocks	0.3194	4.04***
β GARCH Volatility persistence	0.5206	6.45***
γ leverage Additional response to negative shocks	-0.2672	-3.38***
λ₁ tau intercept Baseline long-term coefficient	1.9559	1.73*
λ₂ forecast adj. Forecast performance sensitivity	0.6499	2.36**
λ₃ tau persistence Long-term factor persistence	0.0589	0.15

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