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	1.0605	2.85***
αARCH	0.2543	3.92***
βGARCH	0.5842	8.03***

γ₁	-1.3646	-1.19
γ₂	4.4318	2.62***
γ₃	-4.7231	-3.87***
γ₄	1.6523	1.69*
γ₅	-0.9409	-0.85
γ₆	2.3992	1.76*
γ₇	-2.2392	-1.73*
γ₈	1.4257	1.16
γ₉	-2.3178	-1.79*
γ₁₀	5.9428	3.67***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0605	2.85***
α ARCH Response to squared shocks	0.2543	3.92***
β GARCH Volatility persistence	0.5842	8.03***

γ₁	-1.3646	-1.19
γ₂	4.4318	2.62***
γ₃	-4.7231	-3.87***
γ₄	1.6523	1.69*
γ₅	-0.9409	-0.85
γ₆	2.3992	1.76*
γ₇	-2.2392	-1.73*
γ₈	1.4257	1.16
γ₉	-2.3178	-1.79*
γ₁₀	5.9428	3.67***

V-Lab

Trust Finance Indonesia Tbk PT Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Trust Finance Indonesia Tbk PT Analyses