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	1.7874	3.53***
αARCH	0.0000	0.00
βGARCH	0.0000	0.00

γ₁	399.9994	6.48***
γ₂	-635.8750	-6.76***
γ₃	400.9447	5.81***
γ₄	-308.6912	-5.22***
γ₅	211.5465	5.10***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7874	3.53***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00

γ₁	399.9994	6.48***
γ₂	-635.8750	-6.76***
γ₃	400.9447	5.81***
γ₄	-308.6912	-5.22***
γ₅	211.5465	5.10***

V-Lab

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

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