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	2.2646	3.91***
αARCH	0.2564	4.22***
βGARCH	0.4668	5.47***

γ₁	2.5775	3.25***
γ₂	-4.4574	-3.76***
γ₃	3.4008	4.35***
γ₄	-1.7122	-2.70***
γ₅	-0.2107	-0.32
γ₆	0.1719	0.21
γ₇	0.7652	0.75
γ₈	-1.1641	-0.86
γ₉	1.3376	1.13
γ₁₀	-0.9995	-1.78*

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2646	3.91***
α ARCH Response to squared shocks	0.2564	4.22***
β GARCH Volatility persistence	0.4668	5.47***

γ₁	2.5775	3.25***
γ₂	-4.4574	-3.76***
γ₃	3.4008	4.35***
γ₄	-1.7122	-2.70***
γ₅	-0.2107	-0.32
γ₆	0.1719	0.21
γ₇	0.7652	0.75
γ₈	-1.1641	-0.86
γ₉	1.3376	1.13
γ₁₀	-0.9995	-1.78*

V-Lab

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

Date Range:

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