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	2.0765	3.93***
αARCH	0.2338	3.47***
βGARCH	0.6813	11.62***

γ₁	1.6652	8.39***
γ₂	-2.5431	-7.34***
γ₃	1.1898	4.01***
γ₄	-0.4144	-1.55
γ₅	0.1482	0.75

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0765	3.93***
α ARCH Response to squared shocks	0.2338	3.47***
β GARCH Volatility persistence	0.6813	11.62***

γ₁	1.6652	8.39***
γ₂	-2.5431	-7.34***
γ₃	1.1898	4.01***
γ₄	-0.4144	-1.55
γ₅	0.1482	0.75

V-Lab

Trust Finance Indonesia Tbk PT Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trust Finance Indonesia Tbk PT Analyses