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
mwindow	36
αARCH	0.0821	7.67***
βGARCH	0.8007	55.10***
γleverage	0.0968	6.17***
λ₁tau intercept	0.0040	1.62
λ₂forecast adj.	0.0301	3.57***
λ₃tau persistence	0.9672	100.79***

Parameter	Value	t-statistic
m window Rolling window length	36
α ARCH Response to squared shocks	0.0821	7.67***
β GARCH Volatility persistence	0.8007	55.10***
γ leverage Additional response to negative shocks	0.0968	6.17***
λ₁ tau intercept Baseline long-term coefficient	0.0040	1.62
λ₂ forecast adj. Forecast performance sensitivity	0.0301	3.57***
λ₃ tau persistence Long-term factor persistence	0.9672	100.79***

V-Lab

MSCI Chile MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI Chile Analyses