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	1.4694	7.20***
αARCH	0.2025	12.44***
βGARCH	0.7453	45.31***

γ₁	-0.0208	-2.43**
γ₂	0.0509	3.91***
γ₃	-0.0542	-5.67***
γ₄	0.0397	4.98***
γ₅	-0.0207	-3.79***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4694	7.20***
α ARCH Response to squared shocks	0.2025	12.44***
β GARCH Volatility persistence	0.7453	45.31***

γ₁	-0.0208	-2.43**
γ₂	0.0509	3.91***
γ₃	-0.0542	-5.67***
γ₄	0.0397	4.98***
γ₅	-0.0207	-3.79***

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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