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
mwindow	21
αARCH	0.2178	4.17***
βGARCH	0.4786	8.06***
γleverage	-0.0691	-1.24
λ₁tau intercept	3.6581	1.22
λ₂forecast adj.	0.3161	1.25
λ₃tau persistence	0.4884	1.18

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2178	4.17***
β GARCH Volatility persistence	0.4786	8.06***
γ leverage Additional response to negative shocks	-0.0691	-1.24
λ₁ tau intercept Baseline long-term coefficient	3.6581	1.22
λ₂ forecast adj. Forecast performance sensitivity	0.3161	1.25
λ₃ tau persistence Long-term factor persistence	0.4884	1.18

V-Lab

Varopakorn Co MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Varopakorn Co Analyses