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	1.4928	7.22***
αARCH	0.2050	12.50***
βGARCH	0.7431	45.09***

γ₁	-0.0204	-2.37**
γ₂	0.0505	3.83***
γ₃	-0.0537	-5.55***
γ₄	0.0384	4.79***
γ₅	-0.0194	-3.54***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4928	7.22***
α ARCH Response to squared shocks	0.2050	12.50***
β GARCH Volatility persistence	0.7431	45.09***

γ₁	-0.0204	-2.37**
γ₂	0.0505	3.83***
γ₃	-0.0537	-5.55***
γ₄	0.0384	4.79***
γ₅	-0.0194	-3.54***

V-Lab

MSCI NUAM Peru General Index Gross Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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