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	1.1336	5.38***
αARCH	0.1263	12.20***
βGARCH	0.8357	73.59***

γ₁	0.0155	1.06
γ₂	-0.0236	-1.13
γ₃	0.0195	1.51
γ₄	-0.0277	-2.54**
γ₅	0.0599	4.73***
γ₆	-0.1166	-4.82***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1336	5.38***
α ARCH Response to squared shocks	0.1263	12.20***
β GARCH Volatility persistence	0.8357	73.59***

γ₁	0.0155	1.06
γ₂	-0.0236	-1.13
γ₃	0.0195	1.51
γ₄	-0.0277	-2.54**
γ₅	0.0599	4.73***
γ₆	-0.1166	-4.82***

V-Lab

MSCI Chile Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other MSCI Chile Analyses