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	0.5323	3.81***
αARCH	0.1567	7.99***
βGARCH	0.7602	25.65***

γ₁	-0.5954	-4.18***
γ₂	0.8966	4.60***
γ₃	-0.6526	-5.53***
γ₄	0.7637	5.97***
γ₅	-0.7745	-6.21***
γ₆	0.5186	4.23***
γ₇	-0.0740	-0.62
γ₈	-0.2659	-2.48**
γ₉	0.3553	3.35***
γ₁₀	-0.2349	-2.72***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5323	3.81***
α ARCH Response to squared shocks	0.1567	7.99***
β GARCH Volatility persistence	0.7602	25.65***

γ₁	-0.5954	-4.18***
γ₂	0.8966	4.60***
γ₃	-0.6526	-5.53***
γ₄	0.7637	5.97***
γ₅	-0.7745	-6.21***
γ₆	0.5186	4.23***
γ₇	-0.0740	-0.62
γ₈	-0.2659	-2.48**
γ₉	0.3553	3.35***
γ₁₀	-0.2349	-2.72***

V-Lab

Dubai Financial Market General Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dubai Financial Market General Index Analyses