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	0.0550	7.85***
αARCH	0.1937	13.79***
βGARCH	0.8030	56.47***
γleverage	0.0692	2.73***
δpower	1.7479	9.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0550	7.85***
α ARCH Response to squared shocks	0.1937	13.79***
β GARCH Volatility persistence	0.8030	56.47***
γ leverage Additional response to negative shocks	0.0692	2.73***
δ power Transformation power	1.7479	9.59***

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MSCI NUAM Peru General Index Gross APARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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