CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF 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
mwindow	66
αARCH	0.4176	3.82***
βGARCH	0.3894	5.06***
γleverage	-0.3549	-3.33***
λ₁tau intercept	0.0034	0.06
λ₂forecast adj.	0.0000	0.00
λ₃tau persistence	0.9992	134.95***

Parameter	Value	t-statistic
m window Rolling window length	66
α ARCH Response to squared shocks	0.4176	3.82***
β GARCH Volatility persistence	0.3894	5.06***
γ leverage Additional response to negative shocks	-0.3549	-3.33***
λ₁ tau intercept Baseline long-term coefficient	0.0034	0.06
λ₂ forecast adj. Forecast performance sensitivity	0.0000	0.00
λ₃ tau persistence Long-term factor persistence	0.9992	134.95***

V-Lab

Zhihu Inc MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Zhihu Inc Analyses