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	3.6933	1.71*
αARCH	0.2717	1.79*
βGARCH	0.5703	2.88***
γleverage	-0.1856	-0.84

Parameter	Value	t-statistic
ω const Unconditional variance weight	3.6933	1.71*
α ARCH Response to squared shocks	0.2717	1.79*
β GARCH Volatility persistence	0.5703	2.88***
γ leverage Additional response to negative shocks	-0.1856	-0.84

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PT Esta Indonesia TBK GJR-GARCH Volatility Analysis

Date Range:

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