CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

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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	1.5077	2.54**
αARCH	0.0000	0.00
βGARCH	0.0000	0.00

γ₁	133.7268	1.23
γ₂	-245.3798	-1.58
γ₃	288.4819	2.76***
γ₄	-329.2818	-3.16***
γ₅	153.8425	1.76*
γ₆	107.6702	1.79*
γ₇	-161.2915	-4.51***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.5077	2.54**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00

γ₁	133.7268	1.23
γ₂	-245.3798	-1.58
γ₃	288.4819	2.76***
γ₄	-329.2818	-3.16***
γ₅	153.8425	1.76*
γ₆	107.6702	1.79*
γ₇	-161.2915	-4.51***

V-Lab

Guangdong Tianyu Semiconductor Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

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