CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{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	5.6099	4.18***
αARCH	0.1440	1.64
βGARCH	0.0000	0.00
γleverage	2.8042	1.85*

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.6099	4.18***
α ARCH Response to squared shocks	0.1440	1.64
β GARCH Volatility persistence	0.0000	0.00
γ leverage Additional response to negative shocks	2.8042	1.85*

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

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