CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

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{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	0.6185	1.18
α ARCH Response to squared shocks	0.1058	2.77***
β GARCH Volatility persistence	0.8164	17.16***
γ leverage Additional response to negative shocks	0.0121	0.13
δ power Transformation power	1.9308	2.78***

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Zhejiang Walrus New Material Co Ltd APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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