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	0.9072	2.02**
αARCH	0.2322	1.94*
βGARCH	0.7082	7.64***
γleverage	-0.0320	-0.20

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9072	2.02**
α ARCH Response to squared shocks	0.2322	1.94*
β GARCH Volatility persistence	0.7082	7.64***
γ leverage Additional response to negative shocks	-0.0320	-0.20

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Luyuan Group Holding Cayman GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Luyuan Group Holding Cayman Analyses