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
ωconst	1.0254	3.33***
αARCH	0.1716	3.09***
βGARCH	0.6167	5.23***

γ₁	8.8972	3.18***
γ₂	-15.9908	-3.69***
γ₃	11.2820	3.11***
γ₄	-4.2352	-1.28
γ₅	-1.0614	-0.44

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0254	3.33***
α ARCH Response to squared shocks	0.1716	3.09***
β GARCH Volatility persistence	0.6167	5.23***

γ₁	8.8972	3.18***
γ₂	-15.9908	-3.69***
γ₃	11.2820	3.11***
γ₄	-4.2352	-1.28
γ₅	-1.0614	-0.44

V-Lab

Luyuan Group Holding Cayman Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Luyuan Group Holding Cayman Analyses