CBOE China ETF Volatility Index

CBOE Emerging Market Markets 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	1.8356	0.90
αARCH	0.2128	2.57**
βGARCH	0.8492	4.87***
νDF	2.6488	3.32***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.8356	0.90
α ARCH Response to squared shocks	0.2128	2.57**
β GARCH Volatility persistence	0.8492	4.87***
ν DF Student-t tail thickness	2.6488	3.32***

V-Lab

Hotland Innovation Asset MAN GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Hotland Innovation Asset MAN Analyses