CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

How volatility evolves over time

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{name} Model Equation

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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	0.6394	4.07***
αARCH	0.2509	5.43***
βGARCH	0.6970	19.92***
γleverage	0.0396	0.42

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.6394	4.07***
α ARCH Response to squared shocks	0.2509	5.43***
β GARCH Volatility persistence	0.6970	19.92***
γ leverage Additional response to negative shocks	0.0396	0.42

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Zhejiang MTCN Technology Co Ltd Asy. MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

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