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	1.1233	5.71***
αARCH	0.0910	6.98***
βGARCH	0.8601	42.22***

γ₁	-0.1851	-4.00***
γ₂	0.3339	4.88***
γ₃	-0.2666	-4.92***
γ₄	0.2029	3.65***
γ₅	-0.1113	-2.64***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1233	5.71***
α ARCH Response to squared shocks	0.0910	6.98***
β GARCH Volatility persistence	0.8601	42.22***

γ₁	-0.1851	-4.00***
γ₂	0.3339	4.88***
γ₃	-0.2666	-4.92***
γ₄	0.2029	3.65***
γ₅	-0.1113	-2.64***

V-Lab

Sansteel Minguang Co Ltd Fujian Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Sansteel Minguang Co Ltd Fujian Analyses