CBOE China ETF Volatility Index

CBOE Emerging Market Markets 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	2.4178	0.51
αARCH	0.1708	1.54
βGARCH	0.8817	3.82***
νDF	2.7877	1.43

Parameter	Value	t-statistic
ω const Unconditional variance weight	2.4178	0.51
α ARCH Response to squared shocks	0.1708	1.54
β GARCH Volatility persistence	0.8817	3.82***
ν DF Student-t tail thickness	2.7877	1.43

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Icbc Credit Suisse- Mengneng GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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