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	0.0469	1.87*
αARCH	0.1256	4.25***
βGARCH	0.8296	27.55***
γleverage	0.1647	2.81***
δpower	2.3644	4.59***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0469	1.87*
α ARCH Response to squared shocks	0.1256	4.25***
β GARCH Volatility persistence	0.8296	27.55***
γ leverage Additional response to negative shocks	0.1647	2.81***
δ power Transformation power	2.3644	4.59***

V-Lab

Taiwan Stock Exchange Weighted Index Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Taiwan Stock Exchange Weighted Index Analyses