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	1.2922	6.22***
αARCH	0.1018	9.68***
βGARCH	0.8627	61.68***

γ₁	0.0295	1.02
γ₂	0.0046	0.10
γ₃	-0.1278	-3.67***
γ₄	0.1959	4.91***
γ₅	-0.1895	-2.74***
γ₆	0.1128	1.31
γ₇	0.0001	0.00
γ₈	-0.0267	-0.55
γ₉	-0.0067	-0.19

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2922	6.22***
α ARCH Response to squared shocks	0.1018	9.68***
β GARCH Volatility persistence	0.8627	61.68***

γ₁	0.0295	1.02
γ₂	0.0046	0.10
γ₃	-0.1278	-3.67***
γ₄	0.1959	4.91***
γ₅	-0.1895	-2.74***
γ₆	0.1128	1.31
γ₇	0.0001	0.00
γ₈	-0.0267	-0.55
γ₉	-0.0067	-0.19

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