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	1.4443	8.12***
αARCH	0.1261	8.85***
βGARCH	0.8141	51.95***

γ₁	-0.0393	-1.24
γ₂	0.1344	2.12**
γ₃	-0.2055	-2.86***
γ₄	0.2019	3.38***
γ₅	-0.1630	-4.21***
γ₆	0.1077	3.02***
γ₇	-0.0209	-0.49
γ₈	-0.0449	-0.93
γ₉	0.0619	1.03

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4443	8.12***
α ARCH Response to squared shocks	0.1261	8.85***
β GARCH Volatility persistence	0.8141	51.95***

γ₁	-0.0393	-1.24
γ₂	0.1344	2.12**
γ₃	-0.2055	-2.86***
γ₄	0.2019	3.38***
γ₅	-0.1630	-4.21***
γ₆	0.1077	3.02***
γ₇	-0.0209	-0.49
γ₈	-0.0449	-0.93
γ₉	0.0619	1.03

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