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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Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1043	5.53***
β GARCH Volatility persistence	0.7098	23.82***
γ leverage Additional response to negative shocks	0.1376	4.26***
λ₁ tau intercept Baseline long-term coefficient	0.0048	1.31
λ₂ forecast adj. Forecast performance sensitivity	0.0232	2.66***
λ₃ tau persistence Long-term factor persistence	0.9725	88.88***

V-Lab

MSCI COLCAP Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI COLCAP Index Analyses