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	503.6559	0.95
αARCH	0.1833	0.91
βGARCH	0.3752	0.58
νDF	2.0118	46.53***

Parameter	Value	t-statistic
ω const Unconditional variance weight	503.6559	0.95
α ARCH Response to squared shocks	0.1833	0.91
β GARCH Volatility persistence	0.3752	0.58
ν DF Student-t tail thickness	2.0118	46.53***

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PT Esta Indonesia TBK GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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