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
ωconst	0.4047	1.70*
αARCH	0.1465	4.82***
βGARCH	0.8134	24.18***
γleverage	-0.0623	-0.72
δpower	1.5737	3.00***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4047	1.70*
α ARCH Response to squared shocks	0.1465	4.82***
β GARCH Volatility persistence	0.8134	24.18***
γ leverage Additional response to negative shocks	-0.0623	-0.72
δ power Transformation power	1.5737	3.00***

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Zhejiang MTCN Technology Co Ltd APARCH Volatility Analysis

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