CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{name} Model Equation

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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	1.0000	0.38
αARCH	0.3907	3.55***
βGARCH	0.5669	4.96***
γleverage	0.0576	0.53
δpower	1.5512	0.76

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.38
α ARCH Response to squared shocks	0.3907	3.55***
β GARCH Volatility persistence	0.5669	4.96***
γ leverage Additional response to negative shocks	0.0576	0.53
δ power Transformation power	1.5512	0.76

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