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	1.2243	3.54***
αARCH	0.1509	1.20
βGARCH	0.0000	0.00

γ₁	12.1427	0.53
γ₂	8.8260	0.24
γ₃	-68.0134	-2.60***
γ₄	90.6672	3.52***
γ₅	-57.6514	-1.86*
γ₆	20.4005	0.66
γ₇	-22.2896	-0.89
γ₈	24.0099	1.51

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2243	3.54***
α ARCH Response to squared shocks	0.1509	1.20
β GARCH Volatility persistence	0.0000	0.00

γ₁	12.1427	0.53
γ₂	8.8260	0.24
γ₃	-68.0134	-2.60***
γ₄	90.6672	3.52***
γ₅	-57.6514	-1.86*
γ₆	20.4005	0.66
γ₇	-22.2896	-0.89
γ₈	24.0099	1.51

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