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	21
αARCH	0.1618	4.23***
βGARCH	0.4386	5.50***
γleverage	0.0966	1.66*
λ₁tau intercept	0.2909	1.70*
λ₂forecast adj.	0.1278	2.36**
λ₃tau persistence	0.8396	12.07***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.1618	4.23***
β GARCH Volatility persistence	0.4386	5.50***
γ leverage Additional response to negative shocks	0.0966	1.66*
λ₁ tau intercept Baseline long-term coefficient	0.2909	1.70*
λ₂ forecast adj. Forecast performance sensitivity	0.1278	2.36**
λ₃ tau persistence Long-term factor persistence	0.8396	12.07***

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Wuxi Honghui New Materials Technology Co., Ltd. MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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