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	0.3017	2.64***
αARCH	0.1482	4.66***
βGARCH	0.8159	22.91***
γleverage	-0.1566	-1.55
δpower	1.6535	4.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.3017	2.64***
α ARCH Response to squared shocks	0.1482	4.66***
β GARCH Volatility persistence	0.8159	22.91***
γ leverage Additional response to negative shocks	-0.1566	-1.55
δ power Transformation power	1.6535	4.41***

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