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	1.1218	5.71***
αARCH	0.0911	6.97***
βGARCH	0.8599	42.18***

γ₁	-0.1863	-4.01***
γ₂	0.3361	4.88***
γ₃	-0.2686	-4.93***
γ₄	0.2054	3.68***
γ₅	-0.1137	-2.68***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1218	5.71***
α ARCH Response to squared shocks	0.0911	6.97***
β GARCH Volatility persistence	0.8599	42.18***

γ₁	-0.1863	-4.01***
γ₂	0.3361	4.88***
γ₃	-0.2686	-4.93***
γ₄	0.2054	3.68***
γ₅	-0.1137	-2.68***

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