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	0.0226	6.28***
αARCH	0.0857	9.13***
βGARCH	0.9143	114.24***
γleverage	0.3149	5.53***
δpower	1.4930	9.36***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0226	6.28***
α ARCH Response to squared shocks	0.0857	9.13***
β GARCH Volatility persistence	0.9143	114.24***
γ leverage Additional response to negative shocks	0.3149	5.53***
δ power Transformation power	1.4930	9.36***

V-Lab

Taiwan Stock Exchange Weighted Index APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

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