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	36.8043	0.40
αARCH	0.0901	0.81
βGARCH	0.9281	6.43***
νDF	4.3269	0.22

Parameter	Value	t-statistic
ω const Unconditional variance weight	36.8043	0.40
α ARCH Response to squared shocks	0.0901	0.81
β GARCH Volatility persistence	0.9281	6.43***
ν DF Student-t tail thickness	4.3269	0.22

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Estun Automation Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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