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	19.3888	0.75
αARCH	0.1034	4.11***
βGARCH	0.9722	23.20***
νDF	4.5392	1.16

Parameter	Value	t-statistic
ω const Unconditional variance weight	19.3888	0.75
α ARCH Response to squared shocks	0.1034	4.11***
β GARCH Volatility persistence	0.9722	23.20***
ν DF Student-t tail thickness	4.5392	1.16

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Zhihu Inc GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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