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	0.5146	3.76***
αARCH	0.1588	7.94***
βGARCH	0.7535	25.15***

γ₁	-0.6235	-4.38***
γ₂	0.9434	4.87***
γ₃	-0.6882	-5.95***
γ₄	0.7957	6.35***
γ₅	-0.8020	-6.56***
γ₆	0.5423	4.51***
γ₇	-0.0969	-0.83
γ₈	-0.2345	-2.18**
γ₉	0.2920	2.26**
γ₁₀	-0.0746	-0.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5146	3.76***
α ARCH Response to squared shocks	0.1588	7.94***
β GARCH Volatility persistence	0.7535	25.15***

γ₁	-0.6235	-4.38***
γ₂	0.9434	4.87***
γ₃	-0.6882	-5.95***
γ₄	0.7957	6.35***
γ₅	-0.8020	-6.56***
γ₆	0.5423	4.51***
γ₇	-0.0969	-0.83
γ₈	-0.2345	-2.18**
γ₉	0.2920	2.26**
γ₁₀	-0.0746	-0.33

V-Lab

Dubai Financial Market General Index Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Dubai Financial Market General Index Analyses