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	1.0000	1.09
αARCH	0.1793	4.67***
βGARCH	0.7840	15.55***
γleverage	0.0589	0.74
δpower	1.8165	3.94***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	1.09
α ARCH Response to squared shocks	0.1793	4.67***
β GARCH Volatility persistence	0.7840	15.55***
γ leverage Additional response to negative shocks	0.0589	0.74
δ power Transformation power	1.8165	3.94***

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Trust Finance Indonesia Tbk PT Asy. Power MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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