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	0.6278	3.96***
αARCH	0.1124	8.71***
βGARCH	0.8434	48.21***

γ₁	-0.2731	-4.46***
γ₂	0.3964	4.20***
γ₃	-0.2068	-2.24**
γ₄	0.1056	0.97
γ₅	-0.0342	-0.36
γ₆	0.0659	1.06
γ₇	-0.0841	-1.64
γ₈	0.0365	0.93

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6278	3.96***
α ARCH Response to squared shocks	0.1124	8.71***
β GARCH Volatility persistence	0.8434	48.21***

γ₁	-0.2731	-4.46***
γ₂	0.3964	4.20***
γ₃	-0.2068	-2.24**
γ₄	0.1056	0.97
γ₅	-0.0342	-0.36
γ₆	0.0659	1.06
γ₇	-0.0841	-1.64
γ₈	0.0365	0.93

V-Lab

Stock Exchange of Thailand SET 50 Index Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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