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	1.9012	1.72*
αARCH	0.1815	1.11
βGARCH	0.7770	8.66***
γleverage	-0.1815	-1.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.9012	1.72*
α ARCH Response to squared shocks	0.1815	1.11
β GARCH Volatility persistence	0.7770	8.66***
γ leverage Additional response to negative shocks	-0.1815	-1.22

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Guangdong Tianyu Semiconductor Co Ltd GJR-GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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