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
mwindow	41
αARCH	0.1615	4.90***
βGARCH	0.6488	9.32***
γleverage	0.0239	0.52
λ₁tau intercept	3.3333	1.96*
λ₂forecast adj.	0.6930	4.43***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	41
α ARCH Response to squared shocks	0.1615	4.90***
β GARCH Volatility persistence	0.6488	9.32***
γ leverage Additional response to negative shocks	0.0239	0.52
λ₁ tau intercept Baseline long-term coefficient	3.3333	1.96*
λ₂ forecast adj. Forecast performance sensitivity	0.6930	4.43***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Zhejiang MTCN Technology Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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