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	1.4414	2.50**
αARCH	0.0000	0.00
βGARCH	0.0000	0.00

γ₁	108.7519	1.08
γ₂	-204.0836	-1.43
γ₃	267.0052	2.83***
γ₄	-355.8432	-3.85***
γ₅	267.5268	3.23***
γ₆	-88.0200	-1.53

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.4414	2.50**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00

γ₁	108.7519	1.08
γ₂	-204.0836	-1.43
γ₃	267.0052	2.83***
γ₄	-355.8432	-3.85***
γ₅	267.5268	3.23***
γ₆	-88.0200	-1.53

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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