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
ωlong-run	1.7125	1.33
αscore	0.0522	7.69***
βpersistence	0.9919	170.72***
νDF	6.6581	1.22

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	1.7125	1.33
α score Weight on the scaled score	0.0522	7.69***
β persistence Volatility persistence	0.9919	170.72***
ν DF Student-t tail thickness	6.6581	1.22

V-Lab

FTSE TWSE Taiwan 50 Index GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other FTSE TWSE Taiwan 50 Index Analyses