CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	14.8335	0.67
αARCH	0.1824	2.44**
βGARCH	0.9057	6.45***
νDF	2.7081	2.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	14.8335	0.67
α ARCH Response to squared shocks	0.1824	2.44**
β GARCH Volatility persistence	0.9057	6.45***
ν DF Student-t tail thickness	2.7081	2.92***

V-Lab

Luyuan Group Holding Cayman GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Luyuan Group Holding Cayman Analyses