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	2.0958	3.88***
αARCH	0.2323	3.46***
βGARCH	0.6867	11.84***

γ₁	1.6929	8.16***
γ₂	-2.5740	-7.10***
γ₃	1.1813	3.81***
γ₄	-0.3902	-1.41
γ₅	0.1306	0.65

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0958	3.88***
α ARCH Response to squared shocks	0.2323	3.46***
β GARCH Volatility persistence	0.6867	11.84***

γ₁	1.6929	8.16***
γ₂	-2.5740	-7.10***
γ₃	1.1813	3.81***
γ₄	-0.3902	-1.41
γ₅	0.1306	0.65

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