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
ωlong-run	11.8439	1.12
αscore	0.0828	10.89***
βpersistence	0.9930	168.17***
νDF	5.8315	2.36**

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	11.8439	1.12
α score Weight on the scaled score	0.0828	10.89***
β persistence Volatility persistence	0.9930	168.17***
ν DF Student-t tail thickness	5.8315	2.36**

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Sansteel Minguang Co Ltd Fujian GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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