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	1.0970	8.03***
αARCH	0.0969	6.26***
βGARCH	0.8269	30.48***

γ₁	0.0197	0.40
γ₂	0.0318	0.37
γ₃	-0.1192	-1.38
γ₄	0.1603	1.97**
γ₅	-0.2068	-3.33***
γ₆	0.1675	4.16***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0970	8.03***
α ARCH Response to squared shocks	0.0969	6.26***
β GARCH Volatility persistence	0.8269	30.48***

γ₁	0.0197	0.40
γ₂	0.0318	0.37
γ₃	-0.1192	-1.38
γ₄	0.1603	1.97**
γ₅	-0.2068	-3.33***
γ₆	0.1675	4.16***

V-Lab

Sonda S.A. Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sonda S.A. Analyses