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	1.0000	0.18
αARCH	0.2412	2.75***
βGARCH	0.6799	4.88***
γleverage	0.1993	1.28
δpower	1.1689	0.47

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.0000	0.18
α ARCH Response to squared shocks	0.2412	2.75***
β GARCH Volatility persistence	0.6799	4.88***
γ leverage Additional response to negative shocks	0.1993	1.28
δ power Transformation power	1.1689	0.47

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Shenzhen Zhaowei Machinery & Electronic Co Ltd Asy. Power MEM Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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