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	1.0675	4.46***
αARCH	0.1224	6.44***
βGARCH	0.8393	30.08***

γ₁	0.0120	0.75
γ₂	-0.0120	-0.49
γ₃	-0.0210	-0.86
γ₄	0.0441	1.73*
γ₅	-0.0305	-1.92*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0675	4.46***
α ARCH Response to squared shocks	0.1224	6.44***
β GARCH Volatility persistence	0.8393	30.08***

γ₁	0.0120	0.75
γ₂	-0.0120	-0.49
γ₃	-0.0210	-0.86
γ₄	0.0441	1.73*
γ₅	-0.0305	-1.92*

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