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	2.2348	0.98
αARCH	0.3932	1.76*
βGARCH	0.5409	6.34***

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2348	0.98
α ARCH Response to squared shocks	0.3932	1.76*
β GARCH Volatility persistence	0.5409	6.34***

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Inner Mongolia Shuangxin Environment-Friendly Material Co Ltd MEM Volatility Analysis

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