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	0.8896	2.93***
αARCH	0.3565	5.89***
βGARCH	0.6073	12.65***
γleverage	-0.1267	-1.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.8896	2.93***
α ARCH Response to squared shocks	0.3565	5.89***
β GARCH Volatility persistence	0.6073	12.65***
γ leverage Additional response to negative shocks	-0.1267	-1.44

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Trusval Technology Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

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