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	0.7533	3.00***
αARCH	0.2393	5.36***
βGARCH	0.6734	16.06***

γ₁	0.0060	0.09
γ₂	-0.0545	-0.58
γ₃	0.1080	1.86*
γ₄	-0.1531	-3.53***
γ₅	0.1385	3.41***
γ₆	-0.0074	-0.19
γ₇	-0.0694	-1.96**
γ₈	0.0371	1.52

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7533	3.00***
α ARCH Response to squared shocks	0.2393	5.36***
β GARCH Volatility persistence	0.6734	16.06***

γ₁	0.0060	0.09
γ₂	-0.0545	-0.58
γ₃	0.1080	1.86*
γ₄	-0.1531	-3.53***
γ₅	0.1385	3.41***
γ₆	-0.0074	-0.19
γ₇	-0.0694	-1.96**
γ₈	0.0371	1.52

V-Lab

Manila Electric Co Zero Slope Spline-GARCH Volatility Analysis

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