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
ω const Unconditional variance weight	1.0952	5.19***
α ARCH Response to squared shocks	0.1233	12.21***
β GARCH Volatility persistence	0.8446	77.88***

γ₁	0.0008	0.08
γ₂	0.0054	0.37
γ₃	-0.0156	-1.56
γ₄	0.0300	3.53***
γ₅	-0.0350	-6.09***

V-Lab

MSCI Chile Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI Chile Analyses