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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.1957	2.48**
α ARCH Response to squared shocks	0.2936	8.81***
β GARCH Volatility persistence	0.6676	15.71***
γ leverage Additional response to negative shocks	0.0067	0.17
δ power Transformation power	1.2361	2.54**

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Zhejiang Walrus New Material Co Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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