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	2.7967	2.12**
αARCH	0.1137	9.22***
βGARCH	0.9748	78.02***
νDF	4.9714	3.40***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.7967	2.12**
α ARCH Response to squared shocks	0.1137	9.22***
β GARCH Volatility persistence	0.9748	78.02***
ν DF Student-t tail thickness	4.9714	3.40***

V-Lab

Egyptian EGX 30 Price Return Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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