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	0.9683	3.33***
αARCH	0.1870	3.14***
βGARCH	0.5936	4.89***

γ₁	8.2863	3.11***
γ₂	-15.1541	-3.70***
γ₃	11.0182	3.20***
γ₄	-4.1022	-1.34
γ₅	-1.2678	-0.56

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9683	3.33***
α ARCH Response to squared shocks	0.1870	3.14***
β GARCH Volatility persistence	0.5936	4.89***

γ₁	8.2863	3.11***
γ₂	-15.1541	-3.70***
γ₃	11.0182	3.20***
γ₄	-4.1022	-1.34
γ₅	-1.2678	-0.56

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