CBOE China ETF Volatility Index

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{name} Model Equation

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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	0.2439	2.60***
αARCH	0.2981	4.55***
βGARCH	0.8955	19.01***
γleverage	-0.0079	-0.08

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.2439	2.60***
α ARCH Response to squared shocks	0.2981	4.55***
β GARCH Volatility persistence	0.8955	19.01***
γ leverage Additional response to negative shocks	-0.0079	-0.08

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Luyuan Group Holding Cayman EGARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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