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	0.9750	4.65***
αARCH	0.2293	3.79***
βGARCH	0.3892	3.09***

γ₁	0.5762	1.52
γ₂	-1.2052	-2.30**
γ₃	0.9298	3.90***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9750	4.65***
α ARCH Response to squared shocks	0.2293	3.79***
β GARCH Volatility persistence	0.3892	3.09***

γ₁	0.5762	1.52
γ₂	-1.2052	-2.30**
γ₃	0.9298	3.90***

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Hotland Innovation Asset MAN Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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