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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Parameter	Value	t-statistic
ω const Unconditional variance weight	0.0071	1.35
α ARCH Response to squared shocks	0.0614	1.75*
β GARCH Volatility persistence	0.9386	34.33***
γ leverage Additional response to negative shocks	0.0549	0.44
δ power Transformation power	1.9918	2.29**

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Luyuan Group Holding Cayman Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Luyuan Group Holding Cayman Analyses