CBOE China ETF Volatility Index

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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
ωconst	1.2067	4.88***
αARCH	0.0000	0.00
βGARCH	0.8566	3.86***

γ₁	151.5038	4.74***
γ₂	-243.9607	-4.53***
γ₃	121.6046	3.65***

Parameter	Value	t-statistic
ω const Unconditional variance weight	1.2067	4.88***
α ARCH Response to squared shocks	0.0000	0.00
β GARCH Volatility persistence	0.8566	3.86***

γ₁	151.5038	4.74***
γ₂	-243.9607	-4.53***
γ₃	121.6046	3.65***

V-Lab

Estun Automation Co Ltd Zero Slope Spline-GARCH Volatility Analysis

Date Range:

News Impact Curve

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