CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

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{name} Model Equation

How returns affect tomorrow's volatility

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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	1.2922	0.98
αARCH	0.0817	1.80*
βGARCH	0.8945	12.02***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2922	0.98
α ARCH Response to squared shocks	0.0817	1.80*
β GARCH Volatility persistence	0.8945	12.02***

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Estun Automation Co Ltd GARCH Volatility Analysis

Date Range:

News Impact Curve

Volatility Forecast

Parameter Estimates

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