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	1.6493	2.80***
αARCH	0.2325	2.30**
βGARCH	0.6704	10.69***
γleverage	0.0665	0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6493	2.80***
α ARCH Response to squared shocks	0.2325	2.30**
β GARCH Volatility persistence	0.6704	10.69***
γ leverage Additional response to negative shocks	0.0665	0.24

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Zhihu Inc GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

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