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
mwindow	26
αARCH	0.1877	4.73***
βGARCH	0.5805	8.21***
γleverage	-0.0471	-0.97
λ₁tau intercept	0.2601	1.76*
λ₂forecast adj.	0.0786	2.01**
λ₃tau persistence	0.8875	15.91***

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.1877	4.73***
β GARCH Volatility persistence	0.5805	8.21***
γ leverage Additional response to negative shocks	-0.0471	-0.97
λ₁ tau intercept Baseline long-term coefficient	0.2601	1.76*
λ₂ forecast adj. Forecast performance sensitivity	0.0786	2.01**
λ₃ tau persistence Long-term factor persistence	0.8875	15.91***

V-Lab

Trusval Technology MF2-GARCH Volatility Analysis

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