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
ω const Unconditional variance weight	1.4467	8.66***
α ARCH Response to squared shocks	0.1773	7.69***
β GARCH Volatility persistence	0.7573	31.00***

γ₁	0.0219	4.91***
γ₂	-0.0274	-4.82***

V-Lab

MSCI COLCAP Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI COLCAP Index Analyses