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	0.0278	5.80***
αARCH	0.0856	5.77***
βGARCH	0.8556	76.25***
γleverage	0.0867	3.40***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0278	5.80***
α ARCH Response to squared shocks	0.0856	5.77***
β GARCH Volatility persistence	0.8556	76.25***
γ leverage Additional response to negative shocks	0.0867	3.40***

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FTSE TWSE Taiwan 50 Index Asy. MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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