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	21
αARCH	0.0516	3.46***
βGARCH	0.7813	35.29***
γleverage	0.1365	4.35***
λ₁tau intercept	0.0030	2.57**
λ₂forecast adj.	0.0223	3.20***
λ₃tau persistence	0.9764	133.42***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0516	3.46***
β GARCH Volatility persistence	0.7813	35.29***
γ leverage Additional response to negative shocks	0.1365	4.35***
λ₁ tau intercept Baseline long-term coefficient	0.0030	2.57**
λ₂ forecast adj. Forecast performance sensitivity	0.0223	3.20***
λ₃ tau persistence Long-term factor persistence	0.9764	133.42***

V-Lab

Stock Exchange of Thailand SET Index MF2-GARCH Volatility Analysis

Date Range:

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