CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF 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	20.4130	0.66
αARCH	0.4091	2.03**
βGARCH	0.8989	5.76***
νDF	5.1542	0.96

Parameter	Value	t-statistic
ω const Unconditional variance weight	20.4130	0.66
α ARCH Response to squared shocks	0.4091	2.03**
β GARCH Volatility persistence	0.8989	5.76***
ν DF Student-t tail thickness	5.1542	0.96

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Hongxing Coldchain Hunan Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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