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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Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5265	8.42***
α ARCH Response to squared shocks	0.2166	4.63***
β GARCH Volatility persistence	0.4267	12.76***
γ leverage Additional response to negative shocks	0.3555	2.97***

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Hongxing Coldchain Hunan Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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