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	1.7827	3.52***
αARCH	0.0000	0.00
βGARCH	0.0000	0.00

γ₁	398.5240	6.44***
γ₂	-631.6469	-6.69***
γ₃	391.3022	5.64***
γ₄	-287.1343	-4.40***
γ₅	159.8559	1.75*

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7827	3.52***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00

γ₁	398.5240	6.44***
γ₂	-631.6469	-6.69***
γ₃	391.3022	5.64***
γ₄	-287.1343	-4.40***
γ₅	159.8559	1.75*

V-Lab

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

Date Range:

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