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	1.7838	1.30
αARCH	0.0031	0.06
βGARCH	0.6934	1.52

γ₁	534.9668	4.18***
γ₂	-835.9644	-4.82***
γ₃	466.1512	4.20***
γ₄	-224.1866	-2.24**
γ₅	-3.8128	-0.04
γ₆	123.9172	1.87*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7838	1.30
α ARCH Response to squared shocks	0.0031	0.06
β GARCH Volatility persistence	0.6934	1.52

γ₁	534.9668	4.18***
γ₂	-835.9644	-4.82***
γ₃	466.1512	4.20***
γ₄	-224.1866	-2.24**
γ₅	-3.8128	-0.04
γ₆	123.9172	1.87*

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Inner Mongolia Shuangxin Environment-Friendly Material Co Ltd Zero Slope Spline-GARCH Volatility Analysis

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