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	1.6597	5.90***
αARCH	0.2232	2.62***
βGARCH	0.5367	4.63***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.6597	5.90***
α ARCH Response to squared shocks	0.2232	2.62***
β GARCH Volatility persistence	0.5367	4.63***

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Zhihu Inc Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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