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
ωconst	1.7491	0.62
αARCH	0.0292	0.51
βGARCH	0.9171	7.14***
γleverage	-0.0292	-0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.7491	0.62
α ARCH Response to squared shocks	0.0292	0.51
β GARCH Volatility persistence	0.9171	7.14***
γ leverage Additional response to negative shocks	-0.0292	-0.44

V-Lab

Kuaishou Technology GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Kuaishou Technology Analyses