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	0.1832	3.39***
αARCH	0.2778	4.91***
βGARCH	0.9172	36.24***
γleverage	0.0550	1.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1832	3.39***
α ARCH Response to squared shocks	0.2778	4.91***
β GARCH Volatility persistence	0.9172	36.24***
γ leverage Additional response to negative shocks	0.0550	1.44

V-Lab

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