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	49.0279	1.23
αARCH	0.1455	3.93***
βGARCH	0.9808	57.64***
νDF	4.0414	2.17**

Parameter	Value	t-statistic
ω const Unconditional variance weight	49.0279	1.23
α ARCH Response to squared shocks	0.1455	3.93***
β GARCH Volatility persistence	0.9808	57.64***
ν DF Student-t tail thickness	4.0414	2.17**

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