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	0.4780	1.09
αARCH	0.2808	2.42**
βGARCH	0.8170	11.26***
γleverage	-0.2808	-1.73*

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.4780	1.09
α ARCH Response to squared shocks	0.2808	2.42**
β GARCH Volatility persistence	0.8170	11.26***
γ leverage Additional response to negative shocks	-0.2808	-1.73*

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Estun Automation Co Ltd Asy. MEM Volatility Analysis

Date Range:

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