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
mwindow	66
αARCH	0.0460	1.00
βGARCH	0.8918	5.96***
γleverage	-0.0460	-1.03
λ₁tau intercept	10.0000	0.09
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.5884	0.13

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.0460	1.00
β GARCH Volatility persistence	0.8918	5.96***
γ leverage Additional response to negative shocks	-0.0460	-1.03
λ₁ tau intercept Baseline long-term coefficient	10.0000	0.09
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.5884	0.13

V-Lab

Kuaishou Technology MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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