CBOE China ETF Volatility Index

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	1.7657	4.40***
αARCH	0.0736	6.95***
βGARCH	0.8638	43.55***

γ₁	0.0604	1.31
γ₂	0.0167	0.26
γ₃	-0.1824	-4.40***
γ₄	0.1644	4.19***
γ₅	-0.0807	-2.35**
γ₆	0.0123	0.39
γ₇	0.0261	1.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7657	4.40***
α ARCH Response to squared shocks	0.0736	6.95***
β GARCH Volatility persistence	0.8638	43.55***

γ₁	0.0604	1.31
γ₂	0.0167	0.26
γ₃	-0.1824	-4.40***
γ₄	0.1644	4.19***
γ₅	-0.0807	-2.35**
γ₆	0.0123	0.39
γ₇	0.0261	1.08

V-Lab

Gree Electric Appliances Inc of Zhuhai Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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