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
mwindow	71
αARCH	0.5000	2.37**
βGARCH	0.5241	4.05***
γleverage	-0.5000	-2.31**
λ₁tau intercept	3.3419	0.32
λ₂forecast adj.	0.1709	0.35
λ₃tau persistence	0.6415	0.61

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.5000	2.37**
β GARCH Volatility persistence	0.5241	4.05***
γ leverage Additional response to negative shocks	-0.5000	-2.31**
λ₁ tau intercept Baseline long-term coefficient	3.3419	0.32
λ₂ forecast adj. Forecast performance sensitivity	0.1709	0.35
λ₃ tau persistence Long-term factor persistence	0.6415	0.61

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PT Esta Indonesia TBK MF2-GARCH Volatility Analysis

Date Range:

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