CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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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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Param	Value	t-stat
ωconst	1.1932	8.77***
αARCH	0.1048	3.89***
βGARCH	0.8052	15.50***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1932	8.77***
α ARCH Response to squared shocks	0.1048	3.89***
β GARCH Volatility persistence	0.8052	15.50***

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Zhejiang Walrus New Material Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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