CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

FTSE 100 Implied Volatility Index 30 Days

CBOE EFA ETF Volatility Index

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How volatility evolves over time

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{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	1.2841	5.23***
αARCH	0.0130	0.36
βGARCH	0.7874	1.60

γ₁	0.0291	0.06
γ₂	0.3653	0.47
γ₃	-0.6196	-1.31

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2841	5.23***
α ARCH Response to squared shocks	0.0130	0.36
β GARCH Volatility persistence	0.7874	1.60

γ₁	0.0291	0.06
γ₂	0.3653	0.47
γ₃	-0.6196	-1.31

V-Lab

Kuaishou Technology Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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