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

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	1.1916	1.29
αARCH	0.4292	1.41
βGARCH	0.7810	9.03***
γleverage	-0.4292	-1.33

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.1916	1.29
α ARCH Response to squared shocks	0.4292	1.41
β GARCH Volatility persistence	0.7810	9.03***
γ leverage Additional response to negative shocks	-0.4292	-1.33

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Estun Automation Co Ltd GJR-GARCH Volatility Analysis

Date Range:

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