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
mwindow	21
αARCH	0.0925
βGARCH	0.7840
γleverage	0.0375
λ₁tau intercept	0.0023
λ₂forecast adj.	0.0004
λ₃tau persistence	0.0729

Parameter	Value	t-statistic
m window Rolling window length	21
α ARCH Response to squared shocks	0.0925
β GARCH Volatility persistence	0.7840
γ leverage Additional response to negative shocks	0.0375
λ₁ tau intercept Baseline long-term coefficient	0.0023
λ₂ forecast adj. Forecast performance sensitivity	0.0004
λ₃ tau persistence Long-term factor persistence	0.0729

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Estun Automation Co Ltd MF2-GARCH Volatility Analysis

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