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
mwindow	21
αARCH	0.7450	712.91***
βGARCH	0.0000	0.06
γleverage	0.5000	522.47***
λ₁tau intercept	0.0000	0.00
λ₂forecast adj.	0.0431	3.30***
λ₃tau persistence	0.9143	40.96***

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.7450	712.91***
β GARCH Volatility persistence	0.0000	0.06
γ leverage Additional response to negative shocks	0.5000	522.47***
λ₁ tau intercept Baseline long-term coefficient	0.0000	0.00
λ₂ forecast adj. Forecast performance sensitivity	0.0431	3.30***
λ₃ tau persistence Long-term factor persistence	0.9143	40.96***

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Hongxing Coldchain Hunan Co Ltd MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

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