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	50.0187	1.31
αARCH	0.1359	4.12***
βGARCH	0.9843	71.44***
νDF	3.8775	2.56**

Parameter	Value	t-statistic
ω const Unconditional variance weight	50.0187	1.31
α ARCH Response to squared shocks	0.1359	4.12***
β GARCH Volatility persistence	0.9843	71.44***
ν DF Student-t tail thickness	3.8775	2.56**

V-Lab

Guangdong Tianyu Semiconductor Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

Other Guangdong Tianyu Semiconductor Co Ltd Analyses