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	2.2303	3.77***
αARCH	0.2524	4.21***
βGARCH	0.4957	5.95***

γ₁	2.4876	3.12***
γ₂	-4.3512	-3.66***
γ₃	3.4315	4.33***
γ₄	-1.8532	-2.89***
γ₅	-0.0430	-0.07
γ₆	0.0528	0.06
γ₇	0.8416	0.84
γ₈	-1.1699	-0.86
γ₉	1.2052	0.98
γ₁₀	-0.8213	-1.35

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2303	3.77***
α ARCH Response to squared shocks	0.2524	4.21***
β GARCH Volatility persistence	0.4957	5.95***

γ₁	2.4876	3.12***
γ₂	-4.3512	-3.66***
γ₃	3.4315	4.33***
γ₄	-1.8532	-2.89***
γ₅	-0.0430	-0.07
γ₆	0.0528	0.06
γ₇	0.8416	0.84
γ₈	-1.1699	-0.86
γ₉	1.2052	0.98
γ₁₀	-0.8213	-1.35

V-Lab

CH Biotech R&D Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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