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	1.2754	6.15***
αARCH	0.1023	9.66***
βGARCH	0.8619	61.01***

γ₁	0.0288	0.98
γ₂	0.0060	0.13
γ₃	-0.1305	-3.71***
γ₄	0.1998	4.82***
γ₅	-0.1921	-2.69***
γ₆	0.1136	1.30
γ₇	-0.0014	-0.02
γ₈	-0.0227	-0.46
γ₉	-0.0107	-0.30

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2754	6.15***
α ARCH Response to squared shocks	0.1023	9.66***
β GARCH Volatility persistence	0.8619	61.01***

γ₁	0.0288	0.98
γ₂	0.0060	0.13
γ₃	-0.1305	-3.71***
γ₄	0.1998	4.82***
γ₅	-0.1921	-2.69***
γ₆	0.1136	1.30
γ₇	-0.0014	-0.02
γ₈	-0.0227	-0.46
γ₉	-0.0107	-0.30

V-Lab

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