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	0.7467	2.07**
αARCH	0.1501	1.95*
βGARCH	0.7571	10.71***
γleverage	0.0334	0.24

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.7467	2.07**
α ARCH Response to squared shocks	0.1501	1.95*
β GARCH Volatility persistence	0.7571	10.71***
γ leverage Additional response to negative shocks	0.0334	0.24

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Luyuan Group Holding Cayman GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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