CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

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{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	1.3629	2.39**
αARCH	0.0000	0.00
βGARCH	0.0000	0.00

γ₁	70.3197	0.80
γ₂	-131.2692	-1.06
γ₃	203.8135	2.63***
γ₄	-341.2004	-4.63***
γ₅	348.7363	5.00***
γ₆	-194.7916	-3.92***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.3629	2.39**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00

γ₁	70.3197	0.80
γ₂	-131.2692	-1.06
γ₃	203.8135	2.63***
γ₄	-341.2004	-4.63***
γ₅	348.7363	5.00***
γ₆	-194.7916	-3.92***

V-Lab

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

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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