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	2.2252	1.32
αARCH	0.1641	0.88
βGARCH	0.4114	2.23**
γleverage	0.2981	0.59

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.2252	1.32
α ARCH Response to squared shocks	0.1641	0.88
β GARCH Volatility persistence	0.4114	2.23**
γ leverage Additional response to negative shocks	0.2981	0.59

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Hongxing Coldchain Hunan Co Ltd GJR-GARCH Volatility Analysis

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