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	5.0000	1.82*
αARCH	0.6811	1.41
βGARCH	0.5878	5.89***
γleverage	-0.6811	-1.34

Parameter	Value	t-statistic
ω const Unconditional variance weight	5.0000	1.82*
α ARCH Response to squared shocks	0.6811	1.41
β GARCH Volatility persistence	0.5878	5.89***
γ leverage Additional response to negative shocks	-0.6811	-1.34

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Estun Automation Co Ltd GJR-GARCH Volatility Analysis

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