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
ωconst	0.4783	1.29
αARCH	0.1688	3.70***
βGARCH	0.7757	11.53***
γleverage	0.0499	0.29
δpower	1.5617	2.35**

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4783	1.29
α ARCH Response to squared shocks	0.1688	3.70***
β GARCH Volatility persistence	0.7757	11.53***
γ leverage Additional response to negative shocks	0.0499	0.29
δ power Transformation power	1.5617	2.35**

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Luyuan Group Holding Cayman APARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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