CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

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How volatility evolves over time

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{name} Model Equation

How returns affect tomorrow's volatility

How returns affect tomorrow's illiquidity

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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	5.1023	1.96**
αARCH	0.4827	2.90***
βGARCH	0.3973	5.44***
γleverage	-2.3107	-2.28**

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.1023	1.96**
α ARCH Response to squared shocks	0.4827	2.90***
β GARCH Volatility persistence	0.3973	5.44***
γ leverage Additional response to negative shocks	-2.3107	-2.28**

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Estun Automation Co Ltd AGARCH Volatility Analysis

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