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

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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	26
αARCH	0.5000	69.92***
βGARCH	0.5351	67.30***
γleverage	-0.5000	-31.82***
λ₁tau intercept	8.3828	1.02
λ₂forecast adj.	0.0399	3.18***
λ₃tau persistence	0.5873	1.82*

Parameter	Value	t-statistic
m window Rolling window length	26
α ARCH Response to squared shocks	0.5000	69.92***
β GARCH Volatility persistence	0.5351	67.30***
γ leverage Additional response to negative shocks	-0.5000	-31.82***
λ₁ tau intercept Baseline long-term coefficient	8.3828	1.02
λ₂ forecast adj. Forecast performance sensitivity	0.0399	3.18***
λ₃ tau persistence Long-term factor persistence	0.5873	1.82*

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Estun Automation Co Ltd MF2-GARCH Volatility Analysis

Date Range:

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