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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Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0824	7.68***
β GARCH Volatility persistence	0.8002	54.99***
γ leverage Additional response to negative shocks	0.0972	6.19***
λ₁ tau intercept Baseline long-term coefficient	0.0040	1.61
λ₂ forecast adj. Forecast performance sensitivity	0.0301	3.58***
λ₃ tau persistence Long-term factor persistence	0.9673	101.25***

V-Lab

MSCI Chile MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI Chile Analyses