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
mwindow	21
αARCH	0.2152
βGARCH	0.0024
γleverage	-0.1598
λ₁tau intercept	0.0288
λ₂forecast adj.	0.0000
λ₃tau persistence	0.0010

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.2152
β GARCH Volatility persistence	0.0024
γ leverage Additional response to negative shocks	-0.1598
λ₁ tau intercept Baseline long-term coefficient	0.0288
λ₂ forecast adj. Forecast performance sensitivity	0.0000
λ₃ tau persistence Long-term factor persistence	0.0010

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Shenzhen Zhaowei Machinery & Electronic Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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