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
mwindow	121
αARCH	0.1014	6.64***
βGARCH	0.8798	51.41***
γleverage	-0.0428	-2.45**
λ₁tau intercept	1.4474	1.55
λ₂forecast adj.	0.7904	7.16***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	121
α ARCH Response to squared shocks	0.1014	6.64***
β GARCH Volatility persistence	0.8798	51.41***
γ leverage Additional response to negative shocks	-0.0428	-2.45**
λ₁ tau intercept Baseline long-term coefficient	1.4474	1.55
λ₂ forecast adj. Forecast performance sensitivity	0.7904	7.16***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Sansteel Minguang Co Ltd Fujian MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sansteel Minguang Co Ltd Fujian Analyses