CBOE China ETF Volatility Index

CBOE Emerging Market Markets Volatility Index

HSI Volatility Index

CBOE EFA ETF Volatility Index

How volatility evolves over time

How illiquidity evolves over time

{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
ωlong-run	29.8414	0.79
αscore	0.1050	3.62***
βpersistence	0.9748	27.89***
νDF	4.3978	0.97

Parameter	Value	t-statistic
ω long-run Long-run variance given a price move	29.8414	0.79
α score Weight on the scaled score	0.1050	3.62***
β persistence Volatility persistence	0.9748	27.89***
ν DF Student-t tail thickness	4.3978	0.97

V-Lab

Estun Automation Co Ltd GAS-GARCH Student T Volatility Analysis

Date Range:

News Impact Curve

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