CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

EURO STOXX 50 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
ωlong-run	116.9821	1.95*
αscore	0.1190	8.04***
βpersistence	0.9885	204.15***
νDF	3.2594	5.58***

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	116.9821	1.95*
α score Weight on the scaled score	0.1190	8.04***
β persistence Volatility persistence	0.9885	204.15***
ν DF Student-t tail thickness	3.2594	5.58***

V-Lab

Kuaishou Technology GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kuaishou Technology Analyses