CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF Volatility Index

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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	0.9001	0.32
αARCH	0.2733	1.24
βGARCH	0.6842	8.05***

Parameter	Value	t-statistic
ω const Unconditional variance weight	0.9001	0.32
α ARCH Response to squared shocks	0.2733	1.24
β GARCH Volatility persistence	0.6842	8.05***

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Estun Automation Co Ltd MEM Volatility Analysis

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News Impact Curve

Volatility Forecast

Parameter Estimates

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