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
mwindow	71
αARCH	0.2690	3.63***
βGARCH	0.5443	5.05***
γleverage	-0.2197	-2.46**
λ₁tau intercept	2.5366	2.12**
λ₂forecast adj.	0.7496	5.29***
λ₃tau persistence	0.0000	0.00

Parameter	Value	t-statistic
m window Rolling window length	71
α ARCH Response to squared shocks	0.2690	3.63***
β GARCH Volatility persistence	0.5443	5.05***
γ leverage Additional response to negative shocks	-0.2197	-2.46**
λ₁ tau intercept Baseline long-term coefficient	2.5366	2.12**
λ₂ forecast adj. Forecast performance sensitivity	0.7496	5.29***
λ₃ tau persistence Long-term factor persistence	0.0000	0.00

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Luyuan Group Holding Cayman MF2-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Luyuan Group Holding Cayman Analyses