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	0.5029	5.65***
αARCH	0.2027	6.62***
βGARCH	0.6633	16.75***

γ₁	0.3382	3.33***
γ₂	-0.7236	-4.32***
γ₃	0.5596	4.08***
γ₄	-0.1798	-1.42
γ₅	-0.0149	-0.11
γ₆	0.0454	0.34
γ₇	-0.1241	-0.99
γ₈	0.2970	2.59***
γ₉	-0.4303	-3.97***
γ₁₀	0.3465	4.41***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.5029	5.65***
α ARCH Response to squared shocks	0.2027	6.62***
β GARCH Volatility persistence	0.6633	16.75***

γ₁	0.3382	3.33***
γ₂	-0.7236	-4.32***
γ₃	0.5596	4.08***
γ₄	-0.1798	-1.42
γ₅	-0.0149	-0.11
γ₆	0.0454	0.34
γ₇	-0.1241	-0.99
γ₈	0.2970	2.59***
γ₉	-0.4303	-3.97***
γ₁₀	0.3465	4.41***

V-Lab

Varopakorn Co Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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Parameter Estimates

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