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
mwindow	71
αARCH	0.1653	3.67***
βGARCH	0.8281	19.64***
γleverage	0.0131	0.16
λ₁tau intercept	10.0000	1.37
λ₂forecast adj.	0.0163	0.63
λ₃tau persistence	0.9837	45.55***

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.1653	3.67***
β GARCH Volatility persistence	0.8281	19.64***
γ leverage Additional response to negative shocks	0.0131	0.16
λ₁ tau intercept Baseline long-term coefficient	10.0000	1.37
λ₂ forecast adj. Forecast performance sensitivity	0.0163	0.63
λ₃ tau persistence Long-term factor persistence	0.9837	45.55***

V-Lab

Trust Finance Indonesia Tbk PT MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trust Finance Indonesia Tbk PT Analyses