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	1.1541	3.54***
αARCH	0.2030	12.20***
βGARCH	0.7282	39.67***

γ₁	-0.1138	-1.60
γ₂	0.1720	1.83*
γ₃	-0.1118	-2.29**
γ₄	0.1450	3.17***
γ₅	-0.1378	-3.15***
γ₆	0.0341	0.79
γ₇	-0.0140	-0.34
γ₈	0.1224	2.62***
γ₉	-0.2029	-3.56***
γ₁₀	0.2523	3.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1541	3.54***
α ARCH Response to squared shocks	0.2030	12.20***
β GARCH Volatility persistence	0.7282	39.67***

γ₁	-0.1138	-1.60
γ₂	0.1720	1.83*
γ₃	-0.1118	-2.29**
γ₄	0.1450	3.17***
γ₅	-0.1378	-3.15***
γ₆	0.0341	0.79
γ₇	-0.0140	-0.34
γ₈	0.1224	2.62***
γ₉	-0.2029	-3.56***
γ₁₀	0.2523	3.68***

V-Lab

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Date Range:

News Impact Curve

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Parameter Estimates

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