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	2.0649	3.96***
αARCH	0.2375	3.50***
βGARCH	0.6729	11.29***

γ₁	1.6458	8.59***
γ₂	-2.5221	-7.57***
γ₃	1.1976	4.19***
γ₄	-0.4342	-1.67*
γ₅	0.1635	0.85

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.0649	3.96***
α ARCH Response to squared shocks	0.2375	3.50***
β GARCH Volatility persistence	0.6729	11.29***

γ₁	1.6458	8.59***
γ₂	-2.5221	-7.57***
γ₃	1.1976	4.19***
γ₄	-0.4342	-1.67*
γ₅	0.1635	0.85

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