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	0.1892	6.93***
αARCH	0.1117	4.32***
βGARCH	0.6543	8.05***

γ₁	-0.7510	-6.38***
γ₂	0.9416	4.76***
γ₃	-0.5387	-2.60***
γ₄	0.7011	2.30**
γ₅	-0.5395	-1.75*
γ₆	0.3156	1.48
γ₇	-0.2909	-1.50
γ₈	0.2594	1.77*
γ₉	-0.0170	-0.19
γ₁₀	-0.1646	-2.60***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1892	6.93***
α ARCH Response to squared shocks	0.1117	4.32***
β GARCH Volatility persistence	0.6543	8.05***

γ₁	-0.7510	-6.38***
γ₂	0.9416	4.76***
γ₃	-0.5387	-2.60***
γ₄	0.7011	2.30**
γ₅	-0.5395	-1.75*
γ₆	0.3156	1.48
γ₇	-0.2909	-1.50
γ₈	0.2594	1.77*
γ₉	-0.0170	-0.19
γ₁₀	-0.1646	-2.60***

V-Lab

Guan Chong Bhd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Guan Chong Bhd Analyses