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	1.4842	4.65***
αARCH	0.1239	9.68***
βGARCH	0.8421	62.61***

γ₁	0.0256	0.62
γ₂	0.0367	0.60
γ₃	-0.1965	-3.92***
γ₄	0.2397	4.46***
γ₅	-0.1454	-2.62***
γ₆	0.0286	0.54
γ₇	0.0854	1.89*
γ₈	-0.1528	-3.14***
γ₉	0.1303	1.92*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4842	4.65***
α ARCH Response to squared shocks	0.1239	9.68***
β GARCH Volatility persistence	0.8421	62.61***

γ₁	0.0256	0.62
γ₂	0.0367	0.60
γ₃	-0.1965	-3.92***
γ₄	0.2397	4.46***
γ₅	-0.1454	-2.62***
γ₆	0.0286	0.54
γ₇	0.0854	1.89*
γ₈	-0.1528	-3.14***
γ₉	0.1303	1.92*

V-Lab

FTSE Bursa Malaysia KLCI Index - Kuala Lumpur Composite Index Spline-GARCH Volatility Analysis

Date Range:

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