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	1.0560	2.21**
αARCH	0.0000	0.00
βGARCH	0.0000	0.00

γ₁	-41.1287	-0.94
γ₂	109.0636	1.88*
γ₃	-144.3252	-4.49***
γ₄	112.1480	4.66***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0560	2.21**
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.0000	0.00

γ₁	-41.1287	-0.94
γ₂	109.0636	1.88*
γ₃	-144.3252	-4.49***
γ₄	112.1480	4.66***

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

Date Range:

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