CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF Volatility Index

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	1.0000	0.45
αARCH	0.2573	2.32**
βGARCH	0.5109	2.11**
γleverage	0.3191	0.91
δpower	1.2574	0.76

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.45
α ARCH Response to squared shocks	0.2573	2.32**
β GARCH Volatility persistence	0.5109	2.11**
γ leverage Additional response to negative shocks	0.3191	0.91
δ power Transformation power	1.2574	0.76

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