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	1.2946	6.22***
αARCH	0.1020	9.68***
βGARCH	0.8625	61.58***

γ₁	0.0304	1.04
γ₂	0.0039	0.09
γ₃	-0.1291	-3.67***
γ₄	0.1979	4.82***
γ₅	-0.1906	-2.69***
γ₆	0.1126	1.29
γ₇	0.0000	0.00
γ₈	-0.0253	-0.51
γ₉	-0.0082	-0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2946	6.22***
α ARCH Response to squared shocks	0.1020	9.68***
β GARCH Volatility persistence	0.8625	61.58***

γ₁	0.0304	1.04
γ₂	0.0039	0.09
γ₃	-0.1291	-3.67***
γ₄	0.1979	4.82***
γ₅	-0.1906	-2.69***
γ₆	0.1126	1.29
γ₇	0.0000	0.00
γ₈	-0.0253	-0.51
γ₉	-0.0082	-0.24

V-Lab

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