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	56.0275	0.86
αARCH	0.2800	4.05***
βGARCH	0.9899	85.65***
νDF	5.0850	1.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	56.0275	0.86
α ARCH Response to squared shocks	0.2800	4.05***
β GARCH Volatility persistence	0.9899	85.65***
ν DF Student-t tail thickness	5.0850	1.47

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Inner Mongolia Shuangxin Environment-Friendly Material Co Ltd GAS-GARCH Student T Volatility Analysis

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