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	51
αARCH	0.0552	2.82***
βGARCH	0.8511	28.14***
γleverage	0.0868	4.50***
λ₁tau intercept	0.0024	0.65
λ₂forecast adj.	0.0060	1.45
λ₃tau persistence	0.9927	163.21***

Parameter	Value	t-statistic
m window Rolling window length	51
α ARCH Response to squared shocks	0.0552	2.82***
β GARCH Volatility persistence	0.8511	28.14***
γ leverage Additional response to negative shocks	0.0868	4.50***
λ₁ tau intercept Baseline long-term coefficient	0.0024	0.65
λ₂ forecast adj. Forecast performance sensitivity	0.0060	1.45
λ₃ tau persistence Long-term factor persistence	0.9927	163.21***

V-Lab

Philippines Stock Exchange PSEi Index MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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