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	1.2734	6.21***
αARCH	0.1022	9.64***
βGARCH	0.8612	60.75***

γ₁	0.0225	0.77
γ₂	0.0192	0.43
γ₃	-0.1442	-4.14***
γ₄	0.2125	5.32***
γ₅	-0.2007	-2.90***
γ₆	0.1141	1.33
γ₇	0.0104	0.16
γ₈	-0.0530	-0.97
γ₉	0.0625	1.04

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2734	6.21***
α ARCH Response to squared shocks	0.1022	9.64***
β GARCH Volatility persistence	0.8612	60.75***

γ₁	0.0225	0.77
γ₂	0.0192	0.43
γ₃	-0.1442	-4.14***
γ₄	0.2125	5.32***
γ₅	-0.2007	-2.90***
γ₆	0.1141	1.33
γ₇	0.0104	0.16
γ₈	-0.0530	-0.97
γ₉	0.0625	1.04

V-Lab

Stock Exchange of Thailand SET Index Spline-GARCH Volatility Analysis

Date Range:

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